A new sufficient condition in the invariance principle for the partial sum processes of moving averages (Q542174)

The \(C\)-convergence in \(D[0,1]\) means the weak convergence of distributions of measurable functionals with respect to the Borel \(\sigma\)-algebra in the space \(D[0,1]\) and continuous in the uniform metric at the point of the space \(C[0,1]\). Let \(\{\xi_k, k\in\mathbb{Z}\}\) be i.i.d. random variables with \(E\xi_k= 0\) and \(E\xi^2_k= 1\) and consider the moving averages \[ X_j= \sum^\infty_{k=-\infty} a_{j-k} \xi_k,\quad j= 1,2,\dots. \] Define the sequence of partial sums \[ S_0= 0,\quad S_n= \sum^n_{i=1} X_i,\quad n= 1,2,\dots. \] Denote by \(S_n(t)= S_{[nt]}/\sqrt{n}\) for \(t\in[0, 1]\) and \(n= 1,2,\dots\). In this paper, the author proves that if \[ \sum^\infty_{k=-\infty} a^2_k< \infty \] and for some positive integer \(m\) \[ \sum^\infty_{i=1} |a_{(i-1)m+1}+\cdots+ a_{im}|<\infty,\;\sum^\infty_{i=1} |a_{-((i-1)m+ 1)}+\cdots+ a_{-im}|< \infty, \] then \[ \sigma^2:= \lim_{n\to\infty} {DS_n\over n}= \Biggl(\sum^\infty_{i=-\infty} a_i\Biggr)^2, \] and, in addition, if \(0< \sigma<\infty\), the \(C\)-convergence of \(S_n(\cdot)\) to \(\sigma W(\cdot)\) holds where \(W(\cdot)\) is the standard Wiener process.