Hölderian weak invariance principle under a Hannan type condition
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Publication:898409
DOI10.1016/J.SPA.2015.09.001zbMATH Open1329.60074arXiv1503.02567OpenAlexW1903946047MaRDI QIDQ898409FDOQ898409
Publication date: 8 December 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We investigate the invariance principle in H{"o}lder spaces for strictly stationary martingale difference sequences. In particular, we show that the sufficient condition on the tail in the i.i.d. case does not extend to stationary ergodic martingale differences. We provide a sufficient condition on the conditional variance which guarantee the invariance principle in H{"o}lder spaces. We then deduce a condition in the spirit of Hannan one.
Full work available at URL: https://arxiv.org/abs/1503.02567
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Cited In (7)
- Weak invariance principle in some Besov spaces for stationary martingale differences
- An exponential inequality for orthomartingale difference random fields and some applications
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- A deviation bound for α-dependent sequences with applications to intermittent maps
- Hölderian weak invariance principle under the Maxwell and Woodroofe condition
- An Exponential Inequality for $U$-Statistics of I.I.D. Data
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