On martingale approximation of adapted processes

DOI10.1007/S10959-011-0386-ZzbMATH Open1246.60054arXiv1109.2319OpenAlexW2019500141MaRDI QIDQ430967FDOQ430967

Authors: Hervé Queffélec, Dalibor Volný 

Publication date: 26 June 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We show that the existence of a martingale approximation of a stationary process depends on the choice of the filtration. There exists a stationary linear process which has a martingale approximation with respect to the natural filtration, but no approximation with respect to a larger filtration with respect to wich it is adapted and regular. There exists a stationary process adapted, regular, and having a martingale approximation with respect to a given filtration but not (regular and having a martingale approximation) with respect to the natural filtration.

Full work available at URL: https://arxiv.org/abs/1109.2319

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zbMATH Keywords

stationary processfiltrationmartingale approximationBlaschke product

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Blaschke products (30J10)

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Cited In (8)

• On martingale approximations
• Adaptation on the space of finite signed measures
• Adaptive martingale approximations
• Theorems about martingale approximation and resolvent representation convergence
• On Zhao-Woodroofe's condition for martingale approximation
• Invariance principle via orthomartingale approximation
• Title not available (Why is that?)
• Martingale approximations for continuous-time and discrete-time stationary Markov processes

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