A central limit theorem for stationary random fields
This paper establishes a central limit theorem and an invariance principle for a wide class of stationary random fields under natural and easily verifiable conditions. More precisely, we deal with random fields of the form Xk=g(εk−s,s∈Zd), k∈Zd, where (εi)i∈Zd are iid random variables and g is a measurable function. Such kind of spatial processes provides a general framework for stationary ergodic random fields. Under a short-range dependence condition, we show that the central limit theorem holds without any assumption on the underlying domain on which the process is observed. A limit theorem for the sample auto-covariance function is also established.
Volume (Year): 123 (2013)
Issue (Month): 1 ()
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References listed on IDEAS
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- El Machkouri, Mohamed, 2002. "Kahane-Khintchine inequalities and functional central limit theorem for stationary random fields," Stochastic Processes and their Applications, Elsevier, vol. 102(2), pages 285-299, December.
- Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
- Paulauskas, Vygantas, 2010. "On Beveridge-Nelson decomposition and limit theorems for linear random fields," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 621-639, March.
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