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Hölderian invariance principle for Hilbertian linear processes

Published online by Cambridge University Press:  04 July 2009

Alfredas Račkauskas
Affiliation:
Department of Mathematics and Informatics, Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania; alfredas.rackauskas@maf.vu.lt Institute of Mathematics and Informatics, Akademijos str. 4, 08663 Vilnius, Lithuania
Charles Suquet
Affiliation:
Laboratoire P. Painlevé, UMR 8524 CNRS, Université Lille I, Bât. M2, Cité Scientifique, 59655 Villeneuve d'Ascq Cedex, France; Charles.Suquet@math.univ-lille1.fr
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Abstract

Let $(\xi_n)_{n\ge 1}$ be the polygonal partial sums processes built on the linear processes $X_n=\sum_{i\ge 0}a_i(\epsilon_{n-i})$, n ≥ 1, where $(\epsilon_i)_{i\in\mathbb{Z}}$ are i.i.d., centered random elements in some separable Hilbert space $\mathbb{H}$ and the ai's are bounded linear operators $\mathbb{H}\to \mathbb{H}$, with $\sum_{i\ge 0}\lVert a_i\rVert<\infty$. We investigate functional central limit theorem for $\xi_n$ in the Hölder spaces $\mathrm{H}^o_\rho(\mathbb{H})$ of functions $x:[0,1]\to\mathbb{H}$ such that ||x(t + h) - x(t)|| = o(p(h)) uniformly in t, where p(h) = hαL(1/h), 0 ≤ h ≤ 1 with 0 ≤ α ≤ 1/2 and L slowly varying at infinity. We obtain the $\mathrm{H}^o_\rho(\mathbb{H})$ weak convergence of $\xi_n$ to some $\mathbb{H}$ valued Brownian motion under the optimal assumption that for any c>0, $tP(\lVert \epsilon_0\rVert>ct^{1/2}\rho(1/t))=o(1)$ when t tends to infinity, subject to some mild restriction on L in the boundary case α = 1/2. Our result holds in particular with the weight functions p(h) = h1/2lnβ(1/h), β > 1/2>.

Type
Research Article
Copyright
© EDP Sciences, SMAI, 2009

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