On the exactness of the Wu-Woodroofe approximation

DOI10.1016/j.spa.2008.10.006zbMath1177.60032OpenAlexW2012987494MaRDI QIDQ2389226

Jana Klicnarová, Dalibor Volný

Publication date: 15 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.10.006

zbMATH Keywords

central limit theoremstationary processmartingale approximation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cites Work

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• Approximating martingales and the central limit theorem for strictly stationary processes
• A new maximal inequality and invariance principle for stationary sequences
• Central limit theorems for additive functionals of Markov chains.
• Martingale approximations for sums of stationary processes.
• A nonadapted version of the invariance principle of Peligrad and Utev
• Martingale approximation of non adapted stochastic processes with nonlinear growth of variance
• The Lindeberg-Levy Theorem for Martingales
• A Central Limit Theorem for a Class of Dependent Random Variables

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