Hölderian weak invariance principle under a Hannan type condition

DOI10.1016/J.SPA.2015.09.001zbMATH Open1329.60074arXiv1503.02567OpenAlexW1903946047MaRDI QIDQ898409FDOQ898409

Authors: Davide Giraudo 

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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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)

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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
• Testing mean changes by maximal ratio statistics
• 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
• Title not available (Why is that?)

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