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Invariance principles for non-isotropic long memory random fields
Authors:Frédéric Lavancier
Affiliation:(1) LS-CREST, Paris, France;(2) Université de NANTES, Laboratoire de Mathématiques Jean Leray, UMR CNRS 6629, UFR Sciences et Techniques, 2, rue de la Houssinière, BP 92208, F-44322 NANTES Cedex 3, France
Abstract:We prove that when a random field with bounded spectral density satisfies a Donsker type theorem, its dilated and properly normalised spectral field admits a weak limit. We apply this result to establish the convergence of partial sums for random fields obtained by filtering a white noise. In particular, we prove the convergence of partial sums for strongly-dependent fields whose memory does not satisfy the regularity conditions previously met in the literature.
Keywords:Linear filtering  Non-Gaussian limit  Partial sums  Donsker theorem
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