A strictly stationary -mixing process satisfying the central limit theorem but not the weak invariance principle

DOI10.1016/J.SPA.2014.06.008zbMATH Open1323.60041arXiv1304.7960OpenAlexW2016055004MaRDI QIDQ404595FDOQ404595

Authors: Davide Giraudo, Dalibor Volný 

Publication date: 4 September 2014

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

Abstract: In 1983, N. Herrndorf proved that for a $phi$-mixing sequence satisfying the central limit theorem and $limin{f}_{noinfty}fracsigm{a}_n^{2}n>0$, the weak invariance principle takes place. The question whether for strictly stationary sequences with finite second moments and a weaker type ($alpha$, $$, $ho$) of mixing the central limit theorem implies the weak invariance principle remained open. We construct a strictly stationary $$-mixing sequence with finite moments of any order and linear variance for which the central limit theorem takes place but not the weak invariance principle.

Full work available at URL: https://arxiv.org/abs/1304.7960

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zbMATH Keywords

central limit theoremmixing conditionsstrictly stationary processweak invariance principle

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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Cited In (4)

• An improvement of the mixing rates in a counter-example to the weak invariance principle
• Martingale-coboundary representation for stationary random fields
• On limit theorems for fields of martingale differences
• On the invariance principle for reversible Markov chains

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