Comparison between criteria leading to the weak invariance principle

DOI10.1214/07-AIHP123MaRDI QIDQ731668zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/0805.3450, https://eudml.org/doc/77972

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)

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.

Recommendations

• Independence of Four Projective Criteria for the Weak Invariance Principle
• On the weak invariance principle for stationary sequences under projective criteria
• On the weak invariance principle for non-adapted sequences under projective criteria
• Recent advances in invariance principles for stationary sequences
• Publication:3471260

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3775877 (Why is no real title available?)
• scientific article; zbMATH DE number 978565 (Why is no real title available?)
• scientific article; zbMATH DE number 1076783 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• A Central Limit Theorem for a Class of Dependent Random Variables
• A central limit theorem for stationary random fields
• A new maximal inequality and invariance principle for stationary sequences
• Approximating martingales and the central limit theorem for strictly stationary processes
• Bernoulli shifts with the same entropy are isomorphic
• Central limit theorems for additive functionals of Markov chains.
• Counterexamples in ergodic theory and number theory
• Limit theorems for non-hyperbolic automorphisms of the torus
• On the central limit theorem and iterated logarithm law for stationary processes
• On the functional central limit theorem for stationary processes
• On the invariance principle and the law of iterated logarithm for stationary processes
• Probability: A Graduate Course
• Recent advances in invariance principles for stationary sequences
• The Lindeberg-Levy Theorem for Martingales

Cited in

(14)

• Quenched invariance principles via martingale approximation
• 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
• A conditional CLT which fails for ergodic components
• Independence of Four Projective Criteria for the Weak Invariance Principle

This page was built for publication: Comparison between criteria leading to the weak invariance principle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q731668)