Holderian weak invariance principle for stationary mixing sequences (Q521965): Difference between revisions

The author studies the weak convergence of the (linearly interpolated) partial sum process in a Hölder space. The sequence of random variables is assumed to be stationary and short range dependent in the sense of \(\rho\)-mixing or \(\tau\)-weak dependence. As usual, the existence of higher moments allows for convergence in the space of functions with higher Hölder coefficients. Additionally, a counter-example highlights that the weak convergence in the Hölder space can fail under moment assumptions without the weak dependence assumptions.