Komlós-Major-Tusnády approximation under dependence
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Abstract: The celebrated results of Koml'os, Major and Tusn'ady [Z. Wahrsch. Verw. Gebiete 32 (1975) 111-131; Z. Wahrsch. Verw. Gebiete 34 (1976) 33-58] give optimal Wiener approximation for the partial sums of i.i.d. random variables and provide a powerful tool in probability and statistics. In this paper we extend KMT approximation for a large class of dependent stationary processes, solving a long standing open problem in probability theory. Under the framework of stationary causal processes and functional dependence measures of Wu [Proc. Natl. Acad. Sci. USA 102 (2005) 14150-14154], we show that, under natural moment conditions, the partial sum processes can be approximated by Wiener process with an optimal rate. Our dependence conditions are mild and easily verifiable. The results are applied to ergodic sums, as well as to nonlinear time series and Volterra processes, an important class of nonlinear processes.
The authors of the paper analyze the Komlós-Major-Tusnády (KMT) approximation. They note that the dyadic construction of \textit{J. Komlós} et al. [Z. Wahrscheinlichkeitstheor. Verw. Geb. 32, 111--131 (1975; Zbl 0308.60029); ibid. 34, 33--58 (1976; Zbl 0307.60045)] is highly technical and utilizes conditional large deviation techniques, which makes it very difficult to extend to dependent processes. So, the authors develop a new approximation technique, called triadic decomposition scheme, that enables them to prove the KMT approximation for all \(p >2\) and a large class of dependent sequences under natural moment conditions. Also, the authors give a few examples of applications to ergodic sums, nonlinear time series and Volterra processes.
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