MARTINGALE APPROXIMATION OF NON-STATIONARY STOCHASTIC PROCESSES

DOI10.1142/S0219493706001694zbMATH Open1103.60038MaRDI QIDQ5483388FDOQ5483388

Dalibor Volný

Publication date: 14 August 2006

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

central limit theoremmartingale difference sequencestrictly stationary processcoboundary

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Measure-preserving transformations (28D05)

Cites Work

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• Large deviations for martingales.
• Weighted sums of certain dependent random variables
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• Limit theorems for non-hyperbolic automorphisms of the torus
• Approximating martingales and the central limit theorem for strictly stationary processes
• On the central limit theorem and iterated logarithm law for stationary processes
• On a theorem of K. Schmidt

Cited In (12)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A family of non-Gaussian martingales with Gaussian marginals
• On martingale approximation of adapted processes
• Martingale transforms and Girsanov theorem for long-memory Gaussian processes
• Martingale property of empirical processes
• Martingale-coboundary representation for stationary random fields
• Martingale approximation of non-stationary stochastic processes
• Nonclassical estimates of precision of normal approximation for martingales
• Martingale transforms with non-atomic limits and stochastic approximation
• Local linear regression with nonparametrically generated covariates for weakly dependent data
• Title not available (Why is that?)

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