Law of the iterated logarithm for stationary processes
Zhao, Ou ; Woodroofe, Michael
Ann. Probab., Tome 36 (2008) no. 1, p. 127-142 / Harvested from Project Euclid
There has been recent interest in the conditional central limit question for (strictly) stationary, ergodic processes …, X−1, X0, X1, … whose partial sums Sn=X1+⋯+Xn are of the form Sn=Mn+Rn, where Mn is a square integrable martingale with stationary increments and Rn is a remainder term for which E(Rn2)=o(n). Here we explore the law of the iterated logarithm (LIL) for the same class of processes. Letting ‖⋅‖ denote the norm in L2(P), a sufficient condition for the partial sums of a stationary process to have the form Sn=Mn+Rn is that n−3/2‖E(Sn|X0, X−1, …)‖ be summable. A sufficient condition for the LIL is only slightly stronger, requiring n−3/2log3/2(n)‖E(Sn|X0, X−1, …)‖ to be summable. As a by-product of our main result, we obtain an improved statement of the conditional central limit theorem. Invariance principles are obtained as well.
Publié le : 2008-01-14
Classification:  Conditional central limit question,  ergodic theorem,  Fourier series,  martingales,  Markov chains,  operators on L^2,  60F15,  60F05
@article{1196268675,
     author = {Zhao, Ou and Woodroofe, Michael},
     title = {Law of the iterated logarithm for stationary processes},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 127-142},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1196268675}
}
Zhao, Ou; Woodroofe, Michael. Law of the iterated logarithm for stationary processes. Ann. Probab., Tome 36 (2008) no. 1, pp.  127-142. http://gdmltest.u-ga.fr/item/1196268675/