A~note on the martingale approximation method in proving the central limit theorem for stationary random sequences
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 7, Tome 311 (2004), pp. 124-132
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Under appropriate assumptions the martingale approximation method allows to reduce the study of the asymptotic behavior of sums of random variables forming a stationary random sequence to the analogous problem about the sums of stationary martingale differences. In his early paper on the martingale method the author proposed certain sufficient conditions for the central limit theorem to hold. It is shown in the present note that these conditions, at least in one particular case, can be essentially relaxed. In the context of the central limit theorem for Markov chains an analogous observation was made in a recent paper by H. Holzmann and the author.
@article{ZNSL_2004_311_a5,
author = {M. I. Gordin},
title = {A~note on the martingale approximation method in proving the central limit theorem for stationary random sequences},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {124--132},
publisher = {mathdoc},
volume = {311},
year = {2004},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_2004_311_a5/}
}
TY - JOUR AU - M. I. Gordin TI - A~note on the martingale approximation method in proving the central limit theorem for stationary random sequences JO - Zapiski Nauchnykh Seminarov POMI PY - 2004 SP - 124 EP - 132 VL - 311 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZNSL_2004_311_a5/ LA - ru ID - ZNSL_2004_311_a5 ER -
%0 Journal Article %A M. I. Gordin %T A~note on the martingale approximation method in proving the central limit theorem for stationary random sequences %J Zapiski Nauchnykh Seminarov POMI %D 2004 %P 124-132 %V 311 %I mathdoc %U http://geodesic.mathdoc.fr/item/ZNSL_2004_311_a5/ %G ru %F ZNSL_2004_311_a5
M. I. Gordin. A~note on the martingale approximation method in proving the central limit theorem for stationary random sequences. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 7, Tome 311 (2004), pp. 124-132. http://geodesic.mathdoc.fr/item/ZNSL_2004_311_a5/