On the Invariance Principle for Nonstationary Mixingales
McLeish, D. L.
Ann. Probab., Tome 5 (1977) no. 6, p. 616-621 / Harvested from Project Euclid
In an earlier paper, the author proves an invariance principle for mixingales, a generalization of the concepts of mixing sequences and martingale differences, under the condition that the variance of the sum of $n$ random variables is asymptotic to $\sigma^2n$ where $\sigma^2 > 0$. In this note we relax further the required degree of stationarity, requiring only that the squared variables properly normalized form a uniformly integrable family, and the partial sums have variances consistent with the Wiener process.
Publié le : 1977-08-14
Classification:  Central limit theorem,  mixing,  invariance principles,  60F05,  60G45
@article{1176995772,
     author = {McLeish, D. L.},
     title = {On the Invariance Principle for Nonstationary Mixingales},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 616-621},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995772}
}
McLeish, D. L. On the Invariance Principle for Nonstationary Mixingales. Ann. Probab., Tome 5 (1977) no. 6, pp.  616-621. http://gdmltest.u-ga.fr/item/1176995772/