Comparison between criteria leading to the weak invariance principle

DOI10.1214/07-AIHP123zbMATH Open1182.60010arXiv0805.3450OpenAlexW2164044255MaRDI QIDQ731668FDOQ731668

Authors: Olivier Durieu, Dalibor Volný 

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: The aim of this paper is to compare various criteria leading to the central limit theorem and the weak invariance principle. These criteria are the martingale-coboundary decomposition developed by Gordin in Dokl. Akad. Nauk SSSR 188 (1969), the projective criterion introduced by Dedecker in Probab. Theory Related Fields 110 (1998), which was subsequently improved by Dedecker and Rio in Ann. Inst. H. Poincar'{e} Probab. Statist. 36 (2000) and the condition introduced by Maxwell and Woodroofe in Ann. Probab. 28 (2000) later improved upon by Peligrad and Utev in Ann. Probab. 33 (2005). We prove that in every ergodic dynamical system with positive entropy, if we consider two of these criteria, we can find a function in $mathbb{L}^2$ satisfying the first but not the second.

Full work available at URL: https://arxiv.org/abs/0805.3450

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zbMATH Keywords

central limit theoremstationary processmartingale approximationweak invariance principleprojective criterion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Measure-preserving transformations (28D05)

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Cited In (14)

• A Fourth Moment Inequality for Functionals of Stationary Processes
• Limit theorems for weighted Bernoulli random fields under Hannan's condition
• On the functional CLT for stationary Markov chains started at a point
• A quenched weak invariance principle
• An invariance principle for stationary random fields under Hannan's condition
• On martingale approximations
• Central limit theorem under the Dedecker-Rio condition in some Banach spaces
• Invariance principle via orthomartingale approximation
• Martingale-coboundary representation for stationary random fields
• Hölderian weak invariance principle under the Maxwell and Woodroofe condition
• Central limit theorems for superlinear processes
• Independence of Four Projective Criteria for the Weak Invariance Principle
• A conditional CLT which fails for ergodic components
• Quenched invariance principles via martingale approximation

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