Almost sure invariance principles via martingale approximation
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Abstract: In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale with stationary differences. The results are exploited to further investigate the central limit theorem and its invariance principle started at a point, as well as the law of the iterated logarithm via almost sure approximation with a Brownian motion, improving the results available in the literature. The conditions are well suited for a variety of examples; they are easy to verify, for instance, for linear processes and functions of Bernoulli shifts.
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Cited in
(13)- Quenched invariance principles via martingale approximation
- On the invariance principle under martingale approximation
- On the functional CLT for stationary Markov chains started at a point
- A quenched weak invariance principle
- Limit theorems for Markov chains by the symmetrization method
- On the functional central limit theorem via martingale approximation
- MARTINGALE APPROXIMATION OF NON-STATIONARY STOCHASTIC PROCESSES
- An almost sure invariance principle for stochastic approximation procedures in linear filtering theory
- On the Komlós, Major and Tusnády strong approximation for some classes of random iterates
- scientific article; zbMATH DE number 4119333 (Why is no real title available?)
- On martingale approximations and the quenched weak invariance principle
- On the quenched CLT for stationary Markov chains
- Strong invariance principles with rate for ``reverse martingale differences and applications
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