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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1962 Volume 7, Issue 4, Pages 361–392 (Mi tvp4736)

This article is cited in 511 papers

Some Limit Theorems for Stationary Processes

I. A. Ibragimov

Leningrad

Abstract: In this paper stationary stochastic processes in the strong sense $\{x_j\}$ are investigated, which satisfy the condition
$$ |\mathbf P(AB)-\mathbf P(A)\mathbf P(B)|\leq\varphi(n)\mathbf P(A),\quad\varphi(n)\downarrow 0, $$
for every $A\in\mathfrak{M}_{-\infty}^0,B\in\mathfrak{M}_n^\infty$, or the “strong mixing condition”
$$ \sup_{A\in\mathfrak{M}_{-\infty}^0,B\in\mathfrak{M}_n^\infty}|\mathbf P(AB)-\mathbf P(A)\mathbf P(B)|\alpha(n)\downarrow0, $$
where $\mathfrak{M}_a^b$ is a $\sigma$-algebra generated by the events
$$ \{(x_{i_1},x_{i_2},\dots,x_{i_k})\in\mathbf E\},\qquad a \leq i_1<i_2<\dots<i_k\leq b, $$
$\mathbf E$ being a $k$-dimensional Borel set.
Some limit theorems for the sums of the type
$$\frac{x_1+\cdots+x_n}{B_n}-A_n\quad{\text{or}}\quad\frac{f_1+ \cdots+f_n}{B_n }-A_n$$
are established. Here $f_j=T^j f$, and the random variable $f$ is measurable with respect to $\mathfrak{M}_{-\infty}^\infty $.

Received: 15.01.1961


 English version:
Theory of Probability and its Applications, 1962, 7:4, 349–382


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