On the functional central limit theorem via martingale approximation

DOI10.3150/10-BEJ276zbMATH Open1284.60070arXiv0910.3448OpenAlexW3102972652MaRDI QIDQ637109FDOQ637109

Authors: Magda Peligrad, Mikhaĭl Iosifovich Gordin 

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for transferring the conditional functional central limit theorem from the martingale to the original process. The condition found is simple and well adapted to a variety of examples, leading to a better understanding of the structure of several stochastic processes and their asymptotic behaviors. The approximation brings together many disparate examples in probability theory. It is valid for classes of variables defined by familiar projection conditions such as the Maxwell--Woodroofe condition, various classes of mixing processes, including the large class of strongly mixing processes, and for additive functionals of Markov chains with normal or symmetric Markov operators.

Full work available at URL: https://arxiv.org/abs/0910.3448

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zbMATH Keywords

martingale approximationreversible Markov chainmixing sequencesconditional functional central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Functional limit theorems; invariance principles (60F17)

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Cited In (19)

• Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples
• On the functional CLT for stationary Markov chains started at a point
• Functional central limit theorem via nonstationary projective conditions
• Almost sure invariance principles via martingale approximation
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Limit theorems and inequalities via martingale methods
• Iterated invariance principle for slowly mixing dynamical systems
• Comment on a theorem of M. Maxwell and M. Woodroofe
• On Zhao-Woodroofe's condition for martingale approximation
• Invariance principle via orthomartingale approximation
• A central limit theorem for temporally nonhomogenous Markov chains with applications to dynamic programming
• On martingale approximations and the quenched weak invariance principle
• Randomization in the construction of multidimensional martingales
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• Conditional central limit theorem via martingale approximation
• A functional CLT for fields of commuting transformations via martingale approximation
• Closability, regularity, and approximation by graphs for separable bilinear forms
• Functional CLT for martingale-like nonstationary dependent structures
• Quenched invariance principles via martingale approximation

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