Quenched central limit theorems for sums of stationary processes

Dalibor Volný and Michael Woodroofe

Statistics & Probability Letters, 2014, vol. 85, issue C, 161-167

Abstract: It is shown that the existence of an L1 martingale–coboundary decomposition does not imply the quenched version of the Central Limit Theorem. In another result, it is shown that a condition proposed by Hannan does imply quenched convergence for a centered version of the sum while a condition proposed by Heyde does not imply quenched convergence.

Keywords: Coboundaries; Hannan’s condition; Heyde’s condition; Martingales (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2013.09.033

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