Invariance principles for martingales and sums of independent random variables

DOI10.1007/BF01179427zbMath0601.60033MaRDI QIDQ1081196

William Stout, Walter Philipp

Publication date: 1986

Published in: Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/173733

zbMATH Keywords

martingale difference sequenceapproximation theorems of Strassen's and Major's type

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Related Items (11)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Strong approximations of semimartingales by processes with independent increments ⋮ Strong approximation for cross-covariances of linear variables with long-range dependence ⋮ An analogue for harmonic functions of Kolmogorov's law of the iterated logarithm ⋮ Critical Lil Behavior of the Trigonometric System ⋮ Upper-lower class tests for weighted i.i.d. sequences and martingales ⋮ Delay time in sequential detection of change ⋮ Double-smoothed drift estimation of jump-diffusion model ⋮ Darling-Erdős theorems for martingales ⋮ Laws of the iterated logarithm for locally square integrable martingales ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

Cites Work

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• Upper and lower functions for martingales and mixing processes
• Approximation of partial sums of i.i.d.r.v.s when the summands have only two moments
• An invariance principle for the law of the iterated logarithm
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales
• A Note on Strassen's Version of the Law of the Iterated Logarithm
• The General Form of the So-Called Law of the Iterated Logarithm
• On the law of the iterated logarithm

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