Split invariance principles for stationary processes

DOI10.1214/10-AOP603MaRDI QIDQ653310zbMATHOpenAlexFDO

Authors István Berkes, Siegfried Hörmann, Johannes Schauer

Publication date 9 January 2012

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.2640

zbMATH Keywords

dependencestationary processesstrong invariance principleincrements of partial sumsKMT approximation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

Abstract: The results of Koml'{o}s, Major and Tusn'{a}dy give optimal Wiener approximation of partial sums of i.i.d. random variables and provide an extremely powerful tool in probability and statistical inference. Recently Wu [Ann. Probab. 35 (2007) 2294--2320] obtained Wiener approximation of a class of dependent stationary processes with finite $p$th moments, $2<ple4$, with error term $o(n^{1/p}(logn{)}^{gamma})$, $gamma>0$, and Liu and Lin [Stochastic Process. Appl. 119 (2009) 249--280] removed the logarithmic factor, reaching the Koml'{o}s--Major--Tusn'{a}dy bound $o(n^{1/p})$. No similar results exist for $p>4$, and in fact, no existing method for dependent approximation yields an a.s. rate better than $o(n^{1/4})$. In this paper we show that allowing a second Wiener component in the approximation, we can get rates near to $o(n^{1/p})$ for arbitrary $p>2$. This extends the scope of applications of the results essentially, as we illustrate it by proving new limit theorems for increments of stochastic processes and statistical tests for short term (epidemic) changes in stationary processes. Our method works under a general weak dependence condition covering wide classes of linear and nonlinear time series models and classical dynamical systems.

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