An invariance principle for stationary random fields under Hannan's condition

DOI10.1016/J.SPA.2014.07.015zbMATH Open1312.60031arXiv1403.4613OpenAlexW2963977950MaRDI QIDQ744231FDOQ744231

Yizao Wang, Dalibor Volný

Publication date: 6 October 2014

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

Abstract: We establish an invariance principle for a general class of stationary random fields indexed by $mathbb{Z}^d$, under Hannan's condition generalized to $mathbb{Z}^d$. To do so we first establish a uniform integrability result for stationary orthomartingales, and second we establish a coboundary decomposition for certain stationary random fields. At last, we obtain an invariance principle by developing an orthomartingale approximation. Our invariance principle improves known results in the literature, and particularly we require only finite second moment.

Full work available at URL: https://arxiv.org/abs/1403.4613

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zbMATH Keywords

weak dependenceHannan's conditioninvariance principleBrownian sheetstationary random fieldorthomartingales

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Generalizations of martingales (60G48)

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Cited In (23)

• Bound on the maximal function associated to the law of the iterated logarithms for Bernoulli random fields
• On the spectral density of stationary processes and random fields
• Central limit theorem for Fourier transform and periodogram of random fields
• Randomized limit theorems for stationary ergodic random processes and fields
• Maximal function associated to the bounded law of the iterated logarithms via orthomartingale approximation
• Limit theorems for weighted Bernoulli random fields under Hannan's condition
• Functional central limit theorem via nonstationary projective conditions
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• Martingale approximations for random fields
• Erratum to: ``An invariance principle for stationary random fields under Hannan's condition
• Invariance principle via orthomartingale approximation
• Martingale-coboundary representation for stationary random fields
• On the quenched functional central limit theorem for stationary random fields under projective criteria
• On the weak invariance principle for non-adapted stationary random fields under projective criteria
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• On the central limit theorem for stationary random fields under \({\mathbb{L}^1}\)-projective condition
• On limit theorems for fields of martingale differences
• On the normal approximation for random fields via martingale methods

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