Institute of Mathematical Statistics Lecture Notes - Monograph Series

Invariance principle for stochastic processes with short memory

Magda Peligrad and Sergey Utev

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Abstract

In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the weak invariance principle for partial sums of linear processes with short memory. We prove that whenever the partial sums of innovations satisfy the $L_{p}$--invariance principle, then so does the partial sums of its corresponding linear process.

Chapter information

Source
Evarist Giné, Vladimir Koltchinskii, Wenbo Li, Joel Zinn, eds., High Dimensional Probability: Proceedings of the Fourth International Conference (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006), 18-32

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196284101

Digital Object Identifier
doi:10.1214/074921706000000734

Mathematical Reviews number (MathSciNet)
MR2387758

Zentralblatt MATH identifier
1122.60038

Subjects
Primary: 60F17: Functional limit theorems; invariance principles 60F17: Functional limit theorems; invariance principles
Secondary: 60K99: None of the above, but in this section 60G48: Generalizations of martingales 60G10: Stationary processes

Keywords
stationary process linear processes Brownian motion invariance principle weakly dependent sequences

Rights
Copyright © 2006, Institute of Mathematical Statistics

Citation

Peligrad, Magda; Utev, Sergey. Invariance principle for stochastic processes with short memory. High Dimensional Probability, 18--32, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2006. doi:10.1214/074921706000000734. https://projecteuclid.org/euclid.lnms/1196284101


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