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Berry-Esseen's central limit theorem for non-causal linear processes in Hilbert space
Published 6 Jul 2010 in math.PR, math.ST, and stat.TH | (1007.0921v1)
Abstract: 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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