A strong invariance principle for associated sequences

Yu, Hao

Ann. Probab., Tome 24 (1996) no. 2, p. 2079-2097 / Harvested from Project Euclid

Résumé

By combining the Berkes-Philipp blocking technique and the Csörgö-Révész quantile transform methods, we find that partial sums of an associated sequence can be approximated almost surely by partial sums of another sequence with Gaussian marginals. A crucial fact is that this latter sequence is still associated with covariances roughly bounded by the covariances of the original sequence, and that one can approximate it by an iid Gaussian process using the Berkes-Philipp method. We require that the original sequence has finite $(2 + r)$th moments, $r > 0$, and a power decay rate of a coefficient $u(n)$ which describes the covariance structure of the sequence. Based on this result, we obtain a strong invariance principle for associated sequences if $u(n)$ exponentially decreases to 0.

Détail

Publié le : 1996-10-14
Classification:  Association,  partial sums,  strong invariance principle,  quantile transform,  blocking technique,  60B10,  60F15,  60F17,  62G30