Hölderian weak invariance principle under a Hannan type condition

DOI10.1016/J.SPA.2015.09.001MaRDI QIDQ898409zbMATH OpenOpenAlexFDO

Authors Davide Giraudo

Publication date 8 December 2015

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

Full work available at URL https://arxiv.org/abs/1503.02567

zbMATH Keywords

martingalesstrictly stationary processweak invariance principleHölder spaces

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)

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.

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Cited in

(8)

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• Weak invariance principle in some Besov spaces for stationary martingale differences
• Holderian weak invariance principle for stationary mixing sequences
• An exponential inequality for \(U\)-statistics of i.i.d. data
• Hölderian weak invariance principle under the Maxwell and Woodroofe condition
• An exponential inequality for orthomartingale difference random fields and some applications

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