Invariance principles for linear processes with application to isotonic regression
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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.
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Cited in
(16)- Asymptotic properties for linear processes of functionals of reversible or normal Markov chains
- Limit theorems for weighted Bernoulli random fields under Hannan's condition
- Limit theory in monotone function estimation
- Strong invariance principles with rate for ``reverse martingale differences and applications
- The law of the iterated logarithm for LNQD sequences
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- On the weak invariance principle for non-adapted stationary random fields under projective criteria
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- Limit theorems for linear random fields with innovations in the domain of attraction of a stable law
- Rates in the strong invariance principle for ergodic automorphisms of the torus
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