Convergence rates in the functional CLT for -mixing triangular arrays

DOI10.1016/J.SPA.2023.04.008arXiv2107.02234OpenAlexW4364360547MaRDI QIDQ6157002FDOQ6157002

Yeor Hafouta

Publication date: 19 June 2023

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

Abstract: We obtain convergence rates (in the Levi-Prokhorove metric) in the functional central limit theorem (CLT) for partial sums $S_n=su{m}_{j=1}^{n}x{i}_{j,n}$ of triangular arrays $x{i}_{1,n},x{i}_{2,n},\mathrm{...},x{i}_{n,n}$ satisfying some mixing and moment conditions (which are not necessarily uniform in $n$). For certain classes of additive functionals of triangular arrays of contracting Markov chains (in the sense of Dobrushin) we obtain rates which are close to the best rates obtained for independent random variables. In addition, we obtain close to optimal rates in the usual CLT and a moderate deviations principle and some Rosenthal type inequalities. We will also discuss applications to some classes of local statistics (e.g. covariance estimators), as well as expanding non-stationary dynamical systems, which can be reduced to non-uniformly mixing triangular arrays by an approximation argument. The main novelty here is that our results are obtained without any assumptions about the growth rate of the variance of $S_n$. The result are obtained using a certain type of block decomposition, which, in a sense, reduces the problem to the case when the variance of $S_n$ is "not negligible" in comparison with the (new) number of summands.

Full work available at URL: https://arxiv.org/abs/2107.02234

zbMATH Keywords

mixingtriangular arraysfunctional CLTnon-stationary sequences

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

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Cited In (4)

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• Central limit theorems for \(\alpha\)-mixing triangular arrays with applications to nonparametric statistics
• Wasserstein convergence rates in the invariance principle for sequential dynamical systems
• On the speed of convergence in the local limit theorem for triangular arrays of random variables

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