Invariance principle for stochastic processes with short memory

DOI10.1214/074921706000000734MaRDI QIDQ3592305zbMATH OpenOpenAlexFDO

Authors Magda Peligrad, Sergey Utev

Publication date 12 September 2007

Published in High Dimensional Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612707

zbMATH Keywords

Brownian motioninvariance principlelinear processessamplestationary processweakly dependent sequences

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Special processes (60K99)

Abstract: In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the weak invariance principle for partial sums of linear processes with short memory. We prove that whenever the partial sums of innovations satisfy the $L_p$--invariance principle, then so does the partial sums of its corresponding linear process.

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Cited in

(13)

• Asymptotic behavior of weakly dependent aggregated processes
• Asymptotic normality of sums of Hilbert space valued random elements
• Limit theorems in the context of multivariate long-range dependence
• On weak invariance principles for partial sums
• Limit theorems for aggregated linear processes
• Asymptotic properties for linear processes of functionals of reversible or normal Markov chains
• A note on weighted invariance principle
• Simultaneous confidence bands for sequential autoregressive fitting
• On the local limit theorems for psi-mixing Markov chains
• On limit theorems for Banach-space-valued linear processes
• Invariance principles for linear processes with application to isotonic regression
• Functional central limit theorems for self-normalized partial sums of linear processes
• Functional limit theorems for linear processes in the domain of attraction of stable laws

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