The invariance principle for nonstationary sequences of associated random variables (Q919694)

A finite collection of random variables \(X_ 1,...,X_ n\) is said to be associated, if for any two coordinatewise non-decreasing functions \(f_ 1,f_ 2\) on \(R^ n\) such that the random variables \(f_ 1(X_ 1,...,X_ n)\), \(f_ 2(X_ 1,...,X_ n)\) are square integrable, their cross-covariance is non-negative. A sequence \((X_ n)\) of random variables is said to be associated if any finite collection is associated. The invariance principle for associated sequences of random variables has been recently studied extensively. However, in all previous papers some sort of stationarity of \((X_ n)\) has been required. The authors of this paper succeeded in finding a general sufficient condition for the validity of the invariance principle for associated sequences. In their setting the approximating step-functions are built by means of arbitrary, infinitely increasing sequences of positive numbers \((k_ n):\) \[ W_ n(t)=S_{m_ n(t)}/S_ n,\quad t\in [0,1],\quad m_ n(t)=m(t\cdot k_ n),\quad m(\tau)=\max \{i:\;k_ i\leq \tau \},\quad \tau \geq 0. \]