Definition of FCLT / Functional Central Limit Theorem: FCLT stands for 'functional central limit theorem', and is synonymous with Donsker's theorem.

Briefly: if {e_t} is a series of independent and mean zero random variables, partial sums (from 1 to T) of the e's converge to a standard Brownian motion process on [0,1] as T goes to infinity. See other sources for a proper formal statement. (Econterms)

Terms related to FCLT / Functional Central Limit Theorem:

• Donsker's theorem