An almost sure invariance principle for some classes of non-stationary mixing sequences

DOI10.1016/J.SPL.2022.109728zbMATH Open1499.60100arXiv2005.02915OpenAlexW4308148759MaRDI QIDQ2105397FDOQ2105397

Authors: Yeor Hafouta 

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this note we (in particular) prove an almost sure invariance principle (ASIP) for non-stationary and uniformly bounded sequences of random variables which are exponentially fast $phi$-mixing. The obtained rate is of order $o(V_n^{frac14+del})$ for an arbitrary $del>0$, where $V_n$ is the variance of the underlying partial sums $S_n$. For certain classes of inhomogeneous Markov chains we also prove a vector-valued ASIP with similar rates.

Full work available at URL: https://arxiv.org/abs/2005.02915

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zbMATH Keywords

mixingnonstationary sequencesalmost sure invariance principle

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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Cited In (8)

• On the almost sure invariance principle for stationary sequences of Hilbert-valued random variables
• Title not available (Why is that?)
• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables
• Almost surely invariance principle for non-stationary and random intermittent dynamical systems
• An invariance principle for stationary \(\rho\)-mixing sequences with infinite variance
• Title not available (Why is that?)
• Almost sure invariance principle for sequential and non-stationary dynamical systems
• Almost sure invariance principles for the empirical process of lacunary sequences

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