MARTINGALE APPROXIMATION OF NON-STATIONARY STOCHASTIC PROCESSES

DOI10.1142/S0219493706001694MaRDI QIDQ5483388zbMATHFDO

Authors Dalibor Volný

Publication date 14 August 2006

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

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)

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Cites work

• scientific article; zbMATH DE number 3654421 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• Approximating martingales and the central limit theorem for strictly stationary processes
• Large deviations for martingales.
• Limit theorems for non-hyperbolic automorphisms of the torus
• On a theorem of K. Schmidt
• On the central limit theorem and iterated logarithm law for stationary processes
• Weighted sums of certain dependent random variables

Cited in

(18)

• Martingale approximations for random fields
• Martingale approximations and anisotropic Banach spaces with an application to the time-one map of a Lorentz gas
• Martingale approximation of non adapted stochastic processes with nonlinear growth of variance
• On martingale approximation of adapted processes
• Nonclassical estimates of precision of normal approximation for martingales
• Martingale transforms with non-atomic limits and stochastic approximation
• Martingale decomposition and approximations for nonlinearly dependent processes
• On Zhao-Woodroofe's condition for martingale approximation
• scientific article; zbMATH DE number 1101375 (Why is no real title available?)
• Martingale property of empirical processes
• scientific article; zbMATH DE number 1279059 (Why is no real title available?)
• Martingale approximation of non-stationary stochastic processes
• scientific article; zbMATH DE number 3544944 (Why is no real title available?)
• A family of non-Gaussian martingales with Gaussian marginals
• Martingale-coboundary representation for stationary random fields
• Martingale transforms and Girsanov theorem for long-memory Gaussian processes
• Martingale-coboundary representation for a class of random fields
• Local linear regression with nonparametrically generated covariates for weakly dependent data

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