A new maximal inequality and invariance principle for stationary sequences
نویسندگان
چکیده
منابع مشابه
A new maximal inequality and invariance principle for stationary sequences
We derive a new maximal inequality for stationary sequences under a martingale-type condition introduced by Maxwell and Woodroofe (2000). Then, we apply it to establish the Donsker invariance principle for this class of stationary sequences. A Markov chain example is given in order to show the optimality of the conditions imposed. Short title: A New Maximal Inequality I Results Let (Xi)i∈Z be a...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2005
ISSN: 0091-1798
DOI: 10.1214/009117904000001035