Professor Yaozhong Hu: Density convergence for some nonlinear Gaussian stationary sequences

Abstract:  Consider a Gaussian stationary sequence with unit variance $X=\{X_k;k\in\N\cup\{0\}\}$.  Assume that the central limit theorem holds for a weighted sum of the form $V_n=n^{-1/2}\sum^{n-1}_{k=0} f(X_k)$, where $f$ designates a finite sum of Hermite polynomials. Then we prove that the uniform convergence of the density of $V_{n}$ towards the standard Gaussian density also holds true, under a mild additional assumption involving the causal representation of $X$.