Anne Philippe

Donatas Surgailis

Marie-Claude Viano

Philippe, Anne

Surgailis, Donatas

Viano, Marie-Claude

Numérisation de Documents Anciens Mathématiques

1/.on.iteelation-C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274http://france.elsevier.com/direct/CRASSProbability TheoryInvariance principle for a class of non stationary processeswith long memory✩Anne Philippea, Donatas Surgailisb, Marie-Claude Vianoca Université de Nantes, laboratoire de mathématiques Jean-Leray, UMR CNRS 6629, 2, rue de la Houssinière, BP 92208,44322 Nantes cedex 3, Franceb Vilnius Institute of Mathematics and Informatics, 2600 Vilnius, Lithuaniac Université de Lille 1, laboratoire Paul-Painlevé UMR CNRS 8524, bâtiment M2, 59655 Villeneuve d’Ascq cedex, FranceReceived 10 March 2005; accepted after revision 6 December 2005Presented by Marc YorAbstractWe prove a functional central limit theorem for the partial sums of a class of time varying processes with long memoryTo citethis article: A. Philippe et al., C. R. Acad. Sci. Paris, Ser. I 342 (2006). 2005 Académie des sciences. Published by Elsevier SAS. All rights reserved.RésuméPrincipe d’invariance pour des processus non stationnaires à longue mémoire. Nous étudions une famille de processus nstationnaires à longue mémoire. Nous prouvons un théorème limite fonctionnel pour le processus des sommes partiellesPou cit rcet article : A. Philippe et al., C. R. Acad. Sci. Paris, Ser. I 342 (2006). 2005 Académie des sciences. Published by Elsevier SAS. All rights reserved.Version française abrégéeIntroductionDans [3], Philippe et al. ont introduit une nouvelle classe d’opérateurs linéaires définis à partir d’une sud =(dt )t∈Z parA(d)xt = ∑st a(s, t)xs , etB(d)xt = ∑st b(s, t)xs , où∀s < t : a(s, t) :=∏su<tt − u − 1− dut − u , b(s, t) := −dt−1∏su<t−1u − s + 1− duu − s + 2 ,et a(t, t) = b(t, t) = 1. Le domaine des opérateurs est étudié dans la section 2. Ils sont liés par la rB(−d)A(d) = A(−d)B(d) = I . De plus, lorsqued est constante,A(d) et B(d) coïncident avec le filtre fraction✩ The research is supported by joint Lithuania and France scientific program PAI EGIDE 09393 ZF.E-mail addresses:anne.philippe@math.univ-nantes.fr (A. Philippe), sdonatas@ktl.mii.lt (D. Surgailis), marie-claude.viano@univ-lille1.fr(M.-C. Viano).1631-073X/$ – see front matter 2005 Académie des sciences. Published by Elsevier SAS. All rights reserved.doi:10.1016/j.crma.2005.12.001270 A. Philippe et al. / C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274encequent verssituationnslation ettrons queéscenaire(I −L)d (oùL est l’opérateur retard). Soit(εt ) une suite de variables i.i.d. centrées et de variance 1. L’existdansL2 de solutions aux équationsA(d)Xt = εt etB(d)Yt = εt est prouvée dans [3], où l’on montre aussi que lorsd admet des limitesd± ∈ (0,1/2) en±∞, les sommes partielles de ces processus non stationnaires convergeun processus auto-similaire gaussien dont les accroissements ne sont pas stationnaires, contrairement à ladconstante où la limite est le mouvement brownien fractionnaire.On s’intéresse ici aux suitesd bornéesmoyennablec’est à dire telles quen−1s+n∑k=sdkn→+∞−→ d̄ uniformément ens ∈ Z.Soit M une sous classe des suites moyennables bornées, fermée pour les opérations algébriques, par trapour la convergence uniforme (par exemple, la classe des suites presque périodiques convient). Nous monpour d ∈ M, le processus(Xt ) (resp.(Yt )) solution deA(d)Xt = εt (resp.B(d)Yt = εt ) possède des propriétasymptotiques similaires à celle d’un processus fractionnaire de paramètred̄ .PréliminairesNous commençons par étudier le comportement des coefficientsa−(s, t) (resp.b−(s, t)) de l’opérateurA(−d)(resp.B(−d)).Lemme 0.1. Soitd̄+ := lim supt−s→∞1t − s∑s<u<tdu.Alors, pour toutD > d̄+, D /∈ Z− il existe une constanteC < ∞ telle que∀s  t∣∣a−(s, t)∣∣ + ∣∣b−(s, t)∣∣  C∣∣ψt−s(−D)∣∣,où les coefficientsψj (−D) sont définis en(2).Si l’on suppose que la valeur moyenne ded ∈ M appartient à(0,1/2), alors une conséquence immédiate derésultat est l’existence au sens de la convergenceL2 des processusXt = A(d)−1εt = B(−d)εt et Yt = B(d)−1εt = A(−d)εt ,où (εt , t ∈ Z) est une suite de variables aléatoires i.i.d., centrées et de variance 1.Le résultat suivant donne un contrôle des coefficientsa−(s, t) etb−(s, t) lorsquet − s devient grand.Lemme 0.2. On suppose que la suited ∈ M vérifie la condition(6) avecd̄ ∈ (0,1/2) et que pour tout ∈ Z, dt /∈ Z−.On aa−(s, t) = qA(t)ψt−s(−d̄)θs,t , b−(s, t) = qB(s)dt−1d̄ψt−s(−d̄)ϑs,t ,où|θs,t − 1| + |ϑs,t − 1|  C|s − t |−δ(s < t).Les suitesqA etqB sont définies en(7). Elles appartiennent à la classeM.Résultat principalNous allons maintenant prouver un principe d’invariance pour les processus non stationnaires(Xt ) et (Yt ) définisen (4), (5).A. Philippe et al. / C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274 271desese processustednstrydple,Théorème 0.3. Soit d une suite vérifiant les hypothèses du Lemme0.2. Les sommes partielles renormaliséesprocessus(Xt ) et (Yt ) convergent faiblement dans l’espace de SkorohodD[0,1] :N−d̄−(1/2)[Nτ ]∑t=1YtD[0,1]−→ cABH (τ), et N−d̄−(1/2)[Nτ ]∑t=1XtD[0,1]−→ cBBH (τ)où BH est le mouvement Brownien fractionnaire de paramètreH = d̄ + 1/2, et cA, cB sont les constantes positivdéfinies en(12).Ce résultat de convergence des sommes partielles est très classique dans le sens où l’on retrouve le mêmlimite et la même normalisation que pour les processus fractionnairesZt = (I − L)−d̄ εt .1. IntroductionGiven a real sequenced = (dt , t ∈ Z), in Philippe et al. [3], we introduce the time varying fractionally integralinear operatorsA(d)xt := ∑st a(s, t)xs , andB(d)xt := ∑st b(s, t)xs , where fors < ta(s, t) :=∏su<tt − u − 1− dut − u , b(s, t) := −dt−1∏su<t−1u − s + 1− duu − s + 2 , (1)anda(t, t) = b(t, t) := 1. The domain of operatorsA(d) andB(d) is studied in Section 2. If the sequenced is constant(dt ≡ d), the operatorsA(d) andB(d) coincide with the usual fractional differentiation operator(I − L)d ,(I − L)dxt =∞∑j=0ψj(d)xt−j where∀j > 0,ψj (d) = (−d + j)j !(−d) andψ0(d) = 1, (2)whereLxt = xt−1 is the backshift operator (see [2]). Moreover,B(−d)A(d) = A(−d)B(d) = I and thereforeA(d)andB(d) are invertible under general conditions on the sequenced.In [3], we studied the long memory properties of(Xt ) and (Yt ) defined respectively as solutions of equatioA(d)Xt = εt , and B(d)Yt = εt , where(εt ) is a standard i.i.d. sequence, when the sequenced = (dt , t ∈ Z) haslimits limt→±∞ dt =: d± ∈ (0,1/2). We show in [3] that the partial sums of(Xt ) and(Yt ) converge to two differenGaussian self-similar processes depending on the asymptotic parametersd± only and having asymptotically stationaor asymptotically vanishing increments.In the present paper we consider the case of bounded sequencesd such that the following limit existsd̄ = limn→∞n−1s+n∑k=sdk uniformly in s ∈ Z. (3)We say that a sequenced satisfying (3) isaverageableand calld̄ its mean value. Let M be a subclass of boundeaverageable sequences such thatM is closed under algebraic operations, shifts and uniform limits. For examM can be the class of almost periodic sequences, or the class of all bounded sequencesd su h that limt→∞ dt =limt→−∞ dt ∈ R.As shown below, ifd ∈ M and if d̄ ∈ (0,1/2), then an ‘averaging of nonstationary long memory’ of(Xt ) and(Yt ) occurs and large sample behavior of these processes is similar to the behavior of a stationary FARIMA(0, d̄,0)process.Everywhere below, we assume thatd = (dt , t ∈ Z) is bounded,dt /∈ Z− for all t ∈ Z, and that(εt , t ∈ Z) is an i.i.d.sequence, with zero mean and unit variance.2. Some preliminariesLet a−(s, t), b−(s, t) be the coefficients defined in (1) withd = (dt ) replaced by−d = (−dt ).272 A. Philippe et al. / C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274seLemma 2.1. Letd̄+ := lim supt−s→∞1t − s∑s<u<tdu.Then for anyD > d̄+,D /∈ Z− there exists a constantC < ∞ such that for alls  t∣∣a−(s, t)∣∣ + ∣∣b−(s, t)∣∣  C∣∣ψt−s(−D)∣∣,where the fractional coefficients(ψj (−D)) are defined in(2).Proof. See [3]. Lemma 2.1 ensures that ifd is averageable with mean valued̄ < 1/2, then the processesXt = A(d)−1εt = B(−d)εt =∑stb−(s, t)εs, (4)Yt = B(d)−1εt = A(−d)εt =∑sta−(s, t)εs (5)are well-defined, in the sense ofL2 convergence of the series.Lemma 2.2. Let d ∈M with mean valuēd ∈ (0,1/2). Assume that there existC and0< δ < 1 such that for alls < t∣∣∣∣∣(t − s)−1t∑u=sdu − d̄∣∣∣∣∣ < C(t − s)−δ. (6)Then the infinite productsqA(t) :=∏s<t(1+ ds − d̄d̄ + t − s − 1)and qB(t) :=∏st(1+ ds − d̄d̄ + s − t − 1)(7)converge uniformly int ∈ Z. Moreover, both sequences(qA(t), t ∈ Z) and(qB(t), t ∈ Z) belong toM.Proof. To prove the uniform convergence ofqA(t), it is enough to show that, asn,m → ∞supt∈Z∣∣qnA(t) − qmA (t)∣∣ → 0, whereqnA(t) := n∏p=1(1+ dt−p − d̄d̄ + p − 1)=:n∏p=1(1+ βp(t)). (8)The sequence(dt , t ∈ Z) is bounded, thus there existsn0 such that|βp(t)| < 1/2 for all p  n0, t ∈ Z. Since, theuniform convergence ofqAn (t) is equivalent to the uniform convergence ofqAn (t)/qAn0(t). Therefore, we can suppothatn0 = 1. ThenqAn (t) > 0, for all n  1 and∣∣qnA(t) − qmA (t)∣∣  qnA(t)∣∣∣∣∣m∏p=n+1(1+ βp(t)) − 1∣∣∣∣∣ (n < m).For |x| < 1/2, we have ex−x2  1+ x  ex . Thus we obtainqnA(t)  exp{∑np=1 βp(t)} andexp{m∑p=n+1βp(t) −m∑p=n+1β2p(t)}m∏p=n+1(1+ βp(t)) exp{m∑p=n+1βp(t)}.Here,∑mp=n+1 β2p(t)  Cn−1, due toβ2p(t)  Cp−2. Moreover, using a summation by parts, we getm∑βp(t) = Dn,m(t)d̄ + m − 1 +m−1∑ Dn,p(t)(d̄ + p − 1)(d̄ + p) with Dn,m(t) =m∑(dt−p − d̄). (9)p=n+1 p=n+1 p=n+1A. Philippe et al. / C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274 273tfficientsciple. ItochasticdThe hypothesis (6) implies that|Dn,m(t)|  C|n−m|1−δ whereC does not depend ont . Thus, it is easy to obtain thathe r.h.s. of (9) does not exceedCn−δ . Therefore, for alln sufficiently large,e−Cn−δ m∏p=n+1(1+ βp(t)) eCn−δ , (10)for some constantC > 0 independent ofn andm > n. It also follows that supn1, t∈Z qnA(t) < ∞. Finally, the classM is closed under algebraic operations, shifts and uniform limits, thereforeqA ∈ M.The proof forqB(t) follows similarly. In this lemma, we establish some relations between the time varying coefficients and the fractional coedefined in (2).Lemma 2.3. Under the hypotheses of Lemma2.2,a−(s, t) = qA(t)ψt−s(−d̄)θs,t , b−(s, t) = qB(s)dt−1d̄ψt−s(−d̄)ϑs,t ,where|θs,t − 1| + |ϑs,t − 1|  C|s − t |−δ (s < t), with some constantC < ∞ independent ofs, t .Proof. By definition, we haveθs,t = a−(s, t)qA(t)ψt−s(−d̄)=∞∏p=1(1+ βp(t))−1,where theβp(t)’s are defined in (8). From inequality (10), one has e−C(t−s)−δ  θs,t  eC(t−s)−δfor all s < t withC > 0 independent of(s, t). This yields|θs,t − 1|  C|s − t |−δ for all s < t .The proof forb−(s, t) andϑs,t follows similarly. 3. Main resultIn this section, we prove that the time varying processes defined in (4) and (5) satisfy an invariance prinis important to notice that we obtain the same limit as for the partial sums of a fractional processZt = (I − B)−dεt(see [5]).Theorem 3.1. If we assume that the sequenced ∈ M satisfies the condition(6) and its mean valuēd ∈ (0,1/2). Thenthe partials sums of the processes(Xt ) and(Yt ) defined in(4) and(5) weakly converge in the Skorohod spaceD[0,1]:N−d̄−(1/2)[Nτ ]∑t=1YtD[0,1]−→ cABH (τ) and N−d̄−(1/2)[Nτ ]∑t=1XtD[0,1]−→ cBBH (τ), (11)whereBH is the standard fractional Brownian motion with Hurst parameterH = 1/2+ d̄ and varianceEB2H (1) = 1.The positive constantscA andcB are given byc2A :=qA2d̄(1+ 2d̄)(1− 2d̄)(1− d̄)(d̄) and c2B :=q2Bd̄(1+ 2d̄)(1− 2d̄)(1− d̄)(d̄) , (12)whereqA andq2B are the mean values of the averageable sequencesqA andq2B defined in(7).Proof. We prove the convergence of finite dimensional distributions from the so-called scheme of discrete stintegrals [4]. We restrict the proof to the caseτ = 1. Fors > t , we puta−(s, t) = b−(s, t) := 0.Firstly, the limitcABH (1) can be represented as a stochastic integralJ :=∫Rf (x)dZ(x) with respect to a standarGaussian white noiseZ andf (x) := cAν(d̄)∫ 10 (t − x)d̄−1+ dtI]−∞,1](x). See [5] for detail on the representation ofBH asa stochastic integral and an explicit form of the positive constantν(d), ν(d̄)2 = ∫ 1(∫ 1(t − x)d̄−1+ dt)2 dx.∞ 0274 A. Philippe et al. / C. R. Acad. Sci. Paris, Ser. I 342 (2006) 269–274sow theonsionalound-ort, PubEds.),ng-RangeSecondly, the normalized partial sums of(Yt ) can be written as discrete stochastic integrals. Takingτ = 1 thisintegral isJN :=∫fN(x)dZN(x), whereZN is a ‘discrete stochastic measure’ defined byZN(x′, x′′] := N−1/2∑x′N<sx′′Nεs and fN(x) := N−d̄N∑s=−∞N∑t=1a−(s, t)I] s−1N, sN](x).The convergence in distribution ofJN to J follows from (see [4] for details)(i) (ZN(x′1, x′′1], . . . ,ZN(x′m,x′′m])law→ (Z(x′1, x′′], . . . ,Z(x′m,x′′m]) for any m < ∞ and any disjoint interval(x′i , x′′i ], i = 1, . . . ,m;(ii) ‖fN − f ‖2 → 0, in the Hilbert spaceL2(R).Step (i) is immediate by the central limit theorem. To prove the step (ii), using Lemma 2.3, it suffices to shconvergence‖f̃N − f ‖2 → 0, wheref̃N (x) := N−d̄N∑s=−∞N∑t=1qA(t)ψt−sI] s−1N, sN](x),whereψt−s = ψt−s(−d̄) is the fractional coefficient defined in (2). Next, we writef̃N = f ′N + f ′′N , wheref ′N(x) := N−d̄ q̄AN∑s=−∞N∑t=1ψt−sI] s−1N, sN](x), f′′N(x) := N−d̄N∑s=−∞N∑t=1(qA(t) − q̄A)ψt−sI] s−1N, sN](x).The convergence‖f ′N − f ‖2 → 0 is well-known (see [4]). Relation‖f ′′N‖2 → 0 can be shown using an integratiby parts and the factqA(t) − qA is averageable with zero mean. This proves the convergence of finite dimendistribution of partial sums of(Yt ).The tightness inD[0,1] is obtained by the criterion given in [1] (Theorem 15.6). Using Lemma 2.3 and the bedness ofqA(t), the proof is standard. This proves the convergence in (11) for(Yt ).The proof for(Xt ) is similar. The major modification is to replaceZN byZ̃N (x′, x′′] := (q2B)−1/2N−1/2 ∑x′N<sx′′NqB(s)εs .In this case, the central limit theorem (step (i)) follows by independence of(εt , t ∈ Z) and the fact thatE(Z̃N (x′, x′′])2 = (q2B)−1N−1 ∑x′N<sx′′Nq2B(s) → x′′ − x′,becauseqB ∈ M, and so(q2B(s), s ∈ Z) is averageable. The remaining details are the same as in the case of(Yt ). References[1] P. Billingsley, Convergence of Probability Measures, John Wiley & Sons Inc., New York, 1968.[2] P.J. Brockwell, R.A. Davis, Time Series: Theory and Methods, second ed., Springer-Verlag, New York, 1991.[3] A. Philippe, D. Surgailis, M.-C. Viano, Time-varying fractionally integrated processes with nonstationary long memory, Technical rep.IRMA Lille, 61(9), 2004.[4] D. Surgailis, Non-CLTs:U -statistics, multinomial formula and approximations of multiple Itô-Wiener integrals, in: P. Doukhan, et al. (Theory and Applications of Long-Range Dependence, Birkhäuser, Boston, MA, 2003, pp. 129–142.[5] M.S. Taqqu, Fractional Brownian motion and long-range dependence, in: P. Doukhan, et al. (Eds.), Theory and Applications of LoDependence, Birkhäuser, Boston, MA, 2003, pp. 5–38.

Invariance principle for a class of non stationary processes with long memory

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Invariance principle for a class of non stationary processes with long memory

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