The Beveridge-Nelson decomposition and limit theorems for random linear processes and fields

Speaker(s)

Vygantas Paulauskas

Affiliation

Vilnius University

Date

April 19, 2012, 12:15 p.m.

Room

room 3260

Seminar

Seminar of Probability Group

---

In the talk we demonstrate the usefulness of the so-called Beveridge-Nelson decomposition in asymptotic analysis of sums of values of linear processes and fields. We consider several generalizations of this decomposition and discuss advantages and shortcomings of this approach which can be considered as one of possible methods to deal with sums of dependent random variables. This decomposition is derived for linear processes and fields with the continuous time (space) argument. The talk is based on several papers, among them [V. Paulauskas, J. Multivar. Anal. 101, (2010), 621-639] and [Yu. Davydov and V. Paulauskas, Teor. Verojat. Primenen., (2012), to appear].

---