Conditional central limit theorem via martingale approximation
From MaRDI portal
Abstract: In this paper we survey and further study partial sums of a stationary process via approximation with a martingale with stationary differences. Such an approximation is useful for transferring from the martingale to the original process the conditional central limit theorem. We study both approximations in L_2 and in L_1. The results complement the work of Dedecker Merlevede and Volny (2007), Zhao and Woodroofe (2008), Gordin and Peligrad (2009). The method provides an unitary treatment of many limiting results for dependent random variables including classes of mixing sequences, additive functionals of Markov chains and linear processes.
Recommendations
- On the functional central limit theorem via martingale approximation
- Martingale approximations for sums of stationary processes.
- scientific article; zbMATH DE number 2213813
- Replacing the martingale assumption in a martingale central limit theorem
- On the invariance principle under martingale approximation
Cited in
(10)- Martingale approximations for random fields
- Martingale approximations for sums of stationary processes.
- On the functional CLT for stationary Markov chains started at a point
- On the invariance principle under martingale approximation
- scientific article; zbMATH DE number 3980141 (Why is no real title available?)
- scientific article; zbMATH DE number 2213813 (Why is no real title available?)
- On the functional central limit theorem via martingale approximation
- Yurinskii's coupling for martingales
- On the CLT for additive functionals of Markov chains
- On martingale approximations
This page was built for publication: Conditional central limit theorem via martingale approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3081672)
