Invariance principles under the Maxwell-Woodroofe condition in Banach spaces

DOI10.1214/16-AOP1095zbMATH Open1374.60060arXiv1403.0772MaRDI QIDQ2012246FDOQ2012246

Christophe Cuny

Publication date: 28 July 2017

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

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.

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

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zbMATH Keywords

invariance principlesBanach-valued processescompact law of the iterated logarithmMaxwell-Woodroofe condition

Mathematics Subject Classification ID

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

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