Invariance principles for linear processes with application to isotonic regression

DOI10.3150/10-BEJ273zbMATH Open1284.60068arXiv0903.1951MaRDI QIDQ637091FDOQ637091

Authors: Florence Merlevède, Magda Peligrad, Jérôme Dedecker 

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range dependence and the limiting distribution is a fractional Brownian motion. The proofs are based on new approximations by a linear process with martingale difference innovations. The results are then applied to study an estimator of the isotonic regression when the error process is a (possibly long-range dependent) time series.

Full work available at URL: https://arxiv.org/abs/0903.1951

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zbMATH Keywords

isotonic regressionfractional Brownian motioninvariance principlesmoment inequalitieslinear processesgeneralizations of martingales

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

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Cited In (16)

• On the local limit theorems for linear sequences of lower psi-mixing Markov chains
• Limit theory in monotone function estimation
• Limit theorems for weighted Bernoulli random fields under Hannan's condition
• An invariance principle for fractional Brownian sheets
• Limit theorems for linear random fields with innovations in the domain of attraction of a stable law
• A maximal moment inequality for long range dependent time series with applications to estimation and model selection
• On the weak invariance principle for non-adapted stationary random fields under projective criteria
• Strong invariance principles with rate for ``reverse martingale differences and applications
• The law of the iterated logarithm for LNQD sequences
• A unified study of nonparametric inference for monotone functions
• Asymptotic Properties for Linear Processes of Functionals of Reversible or Normal Markov Chains
• On the weak invariance principle for ortho-martingale in Banach spaces. Application to stationary random fields
• Remarks on limit theorems for reversible Markov processes and their applications
• Convergence to the maximum process of a fractional Brownian motion with shot noise
• Asymptotic properties of self-normalized linear processes with long memory
• Rates in the strong invariance principle for ergodic automorphisms of the torus

Uses Software

• longmemo

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