A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables
Herrndorf, Norbert
Ann. Probab., Tome 12 (1984) no. 4, p. 141-153 / Harvested from Project Euclid
Let $(X_n)_{n \in \mathscr{X J}}$ be a sequence of r.v.'s with $E X_n = 0, E(\sum^n_{i = 1} X_i)^2/n \rightarrow \sigma^2 > 0, \sup_{n,m}E(\sum^{m + n}_{i = m + 1} X_i)^2/n < \infty$. We prove the functional c.l.t. for $(X_n)$ under assumptions on $\alpha_n(k) = \sup\{|P(A \cap B) - P(A)P(B)|:A \in \sigma(X_i: 1 \leq i \leq m), B \in \sigma(X_i: m + k \leq i \leq n), 1 \leq m \leq n - k\}$ and the asymptotic behaviour of $\|X_n\|_\beta$ for some $\beta \in (2, \infty\rbrack$. For the special cases of strongly mixing sequences $(X_n)$ with $\alpha(k) = \sup \alpha_n(k) = O(k^{-a})$ for some $a > 1$, or $\alpha(k) = O(b^{-k})$ for some $b > 1$, we obtain functions $f_\beta(n)$ such that $\|X_n\|_\beta = o(f_\beta(n))$ for some $\beta \in (2, \infty\rbrack$ is sufficient for the functional c.l.t., but the c.l.t. may fail to hold if $\|X_n\|_\beta = O(f_\beta(n))$.
Publié le : 1984-02-14
Classification:  Central limit theorem,  weak convergence of partial sum processes to Brownian motion,  strongly mixing sequences,  $m_n$-dependent sequences,  60F05,  60F17
@article{1176993379,
     author = {Herrndorf, Norbert},
     title = {A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 141-153},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993379}
}
Herrndorf, Norbert. A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables. Ann. Probab., Tome 12 (1984) no. 4, pp.  141-153. http://gdmltest.u-ga.fr/item/1176993379/