Optimal Gaussian approximation for multiple time series

DOI10.5705/SS.202017.0303MaRDI QIDQ5134482zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 16 November 2020

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.10164

zbMATH Keywords

approximation bounds and ratesfunctional central limit theoremfunctional dependence measureGaussian approximationweak dependence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

Abstract: We obtain an optimal bound for a Gaussian approximation of a large class of vector-valued random processes. Our results provide a substantial generalization of earlier results that assume independence and/or stationarity. Based on the decay rate of the functional dependence measure, we quantify the error bound of the Gaussian approximation using the sample size $n$ and the moment condition. Under the assumption of $p$th finite moment, with $p>2$, this can range from a worst case rate of $n^{1/2}$ to the best case rate of $n^{1/p}$.

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Cited in

(10)

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• Gaussian approximation for high dimensional vector under physical dependence
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