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arxiv: 1007.0921 · v1 · submitted 2010-07-06 · 🧮 math.PR · math.ST· stat.TH

Berry-Esseen's central limit theorem for non-causal linear processes in Hilbert space

classification 🧮 math.PR math.STstat.TH
keywords mathbblinearvarepsilonberry-esseenhilbertinftysequencespace
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Let $H$ be a real separable Hilbert space and $(a_k)_{k\in\mathbb{Z}}$ a sequence of bounded linear operators from $H$ to $H$. We consider the linear process $X$ defined for any $k$ in $\mathbb{Z}$ by $X_k=\sum_{j\in\mathbb{Z}}a_j(\varepsilon_{k-j})$ where $(\varepsilon_k)_{k\in\mathbb{Z}}$ is a sequence of i.i.d. centered $H$-valued random variables. We investigate the rate of convergence in the CLT for $X$ and in particular we obtain the usual Berry-Esseen's bound provided that $\sum_{j\in\mathbb{Z}}\vert j\vert\|a_j\|_{\mathcal{L}(H)}<+\infty$ and $\varepsilon_0$ belongs to $L_H^{\infty}$.

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