Holderian weak invariance principle for stationary mixing sequences

DOI10.1007/S10959-015-0633-9MaRDI QIDQ521965zbMATH OpenOpenAlexFDO

Authors Davide Giraudo

Publication date 12 April 2017

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

Full work available at URL https://arxiv.org/abs/1409.8169

zbMATH Keywords

Hölder spacemixing conditionsstrictly stationary processweak invariance principle

Mathematics Subject Classification ID

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

Abstract: We provide some sufficient mixing conditions on a strictly stationary sequence in order to guarantee the weak invariance principle in H"older spaces. Strong mixing and $ho$-mixing conditions are investigated as well as $au$-dependent sequences. The main tools are Fuk-Nagaev type inequalities for mixing sequences and a truncation argument.

Review text

The author studies the weak convergence of the (linearly interpolated) partial sum process in a Hölder space. The sequence of random variables is assumed to be stationary and short range dependent in the sense of \(\rho\)-mixing or \(\tau\)-weak dependence. As usual, the existence of higher moments allows for convergence in the space of functions with higher Hölder coefficients. Additionally, a counter-example highlights that the weak convergence in the Hölder space can fail under moment assumptions without the weak dependence assumptions.

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Cited in

(12)

• Hölderian weak invariance principle under the Maxwell and Woodroofe condition
• Testing mean changes by maximal ratio statistics
• A deviation bound for -dependent sequences with applications to intermittent maps
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• An exponential inequality for U-statistics of i.i.d. data
• An exponential inequality for orthomartingale difference random fields and some applications
• Weak invariance principle in some Besov spaces for stationary martingale differences
• Mixing properties of a class of nonuniformly expanding maps -- application to Hölderian invariance principles
• Limit theorems: some recent results
• Monitoring time series with short detection delay
• Deviation and moment inequalities for Banach-valued U-statistics
• Hölderian weak invariance principle under a Hannan type condition

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