A local limit theorem for linear random fields

Timothy Fortune, Magda Peligrad and Hailin Sang

Journal of Time Series Analysis, 2021, vol. 42, issue 5-6, 696-710

Abstract: In this article, we establish a local limit theorem for linear fields of random variables constructed from i.i.d. innovations each with finite second moment. When the coefficients are absolutely summable we do not restrict the region of summation. However, when the coefficients are only square‐summable we add the variables on unions of rectangle and we impose regularity conditions on the coefficients depending on the number of rectangles considered. Our results are new also for the dimension 1, that is, for linear sequences of random variables. The examples include the fractionally integrated processes for which the results of a simulation study is also included.

Date: 2021
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