A central limit theorem for nonlinear functionals of stationary Gaussian vector processes
type: Item
instance of: scholarly article
title: A central limit theorem for nonlinear functionals of stationary Gaussian vector processes
zbMATH Open document ID: 0816.60023
DOI: 10.1016/0167-7152(94)00070-O
author: M. V. Sánchez de Naranjo
published in: Statistics \& Probability Letters
publication date: 1995-04-23T00:00:00Z
review text: The author considers the limit behaviour for nonlinear functionals \[ Z^ N(H)= (\sqrt N)^{-1} \sum^ N_{j= 1} H(X_ j), \] where \(H\) is a \(d\)-dimensional function and \(X_ n= (X^ 1_ n,\dots, X^ d_ n)\) denotes a stationary Gaussian vector process, such that the correlation matrix tends fast to 0. It is shown that \(Z^ N(H)\) has a Gaussian limiting distribution.
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 739583
zbMATH Keywords: central limit theorem
zbMATH Keywords: nonlinear functionals
zbMATH Keywords: stationary Gaussian vector process
zbMATH Keywords: Hermite polynomials
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 739583