Invariance principles under the Maxwell-Woodroofe condition in Banach spaces

DOI10.1214/16-AOP1095MaRDI QIDQ2012246zbMATH OpenFDO

Authors Christophe Cuny

Publication date 28 July 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.0772

zbMATH Keywords

Banach-valued processescompact law of the iterated logarithminvariance principlesMaxwell-Woodroofe condition

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

Abstract: We prove that, for (adapted) stationary processes, the so-called Maxwell-Wood-roofe condition is sufficient for the law of the iterated logarithm and that it is optimal in some sense. We obtain a similar conclusion concerning the Marcinkiewicz-zygmund strong law of large numbers. Those results actually hold in the context of Banach valued stationary processes, including the case of $L^r$-valued random variables, with $1ler<infty$. In this setting we also prove the weak invariance principle, under a version of the Maxwell-Woodroofe condition, generalizing a result of Peligrad and Utev cite{PU}. Our results extend to non-adapted processes as well, and, partly to stationary processes arising from dynamical systems. The proofs make use of a new maximal inequality and of approximation by martingales, for which some of our results are also new.

Review text

The author studies stationary processes with values in various Banach spaces and specially \(L^p\)-spaces with \(1\leq p< \infty\). He shows that the condition given by \textit{M. Maxwell} and \textit{M. Woodroofe} [Ann. Probab. 28, No. 2, 713--724 (2000; Zbl 1044.60014)] is sufficient for the law of the iterated logarithm and optimal in some sense. The almost sure invariance principle and the weak invariance principle are obtained for large classes of Banach spaces. The tools in the proofs are maximal inequalities and martingale approximation. Several examples are given including the case of empirical processes.

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Cited in

(14)

• Limit theorems for the left random walk on \(\mathrm{GL}_{d}(\mathbb{R})\)
• Hölderian weak invariance principle under the Maxwell and Woodroofe condition
• Maximal function associated to the bounded law of the iterated logarithms via orthomartingale approximation
• On the weak invariance principle for ortho-martingale in Banach spaces. Application to stationary random fields
• A compact LIL for martingales in \(2\)-smooth Banach spaces with applications
• Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences
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• Invariance principle via orthomartingale approximation
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• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
• Central limit theorem under the Dedecker-Rio condition in some Banach spaces
• Kinetic Brownian motion on the diffeomorphism group of a closed Riemannian manifold
• Nonasymptotic heavy-tailed mean estimation in smooth Banach spaces
• Limit theorems for Markov chains by the symmetrization method

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