Almost sure invariance principles via martingale approximation

DOI10.1016/J.SPA.2011.09.004zbMATH Open1230.60029arXiv1103.6266OpenAlexW2045680406MaRDI QIDQ655321FDOQ655321

Authors: Florence Merlevède, Costel Peligrad, Magda Peligrad 

Publication date: 4 January 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1103.6266

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zbMATH Keywords

law of the iterated logarithmmartingale approximationfunctional CLTalmost sure approximationalmost sure CLTnormal Markov chainsquenched CLT

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (12)

• 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
• 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
• Title not available (Why is that?)
• On the quenched CLT for stationary Markov chains
• On martingale approximations and the quenched weak invariance principle
• Quenched Invariance Principles via Martingale Approximation
• Strong invariance principles with rate for ``reverse martingale differences and applications

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