Invariance principle for stochastic processes with short memory
Invariance principle for stochastic processes with short memory
复制标题
短记忆随机过程的不变性原理
DOI：
10.1214/074921706000000734
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
S. Utev
中科院分区：
文献类型：
--
作者：
M. Peligrad;S. Utev
在本文中，我们给出了短记忆线性过程的简单充分条件，暗示了不变性原理。包括投影准则的各种示例被视为应用。特别是，我们处理具有短记忆的线性过程的部分和的弱不变性原理。我们证明，只要创新的部分和满足$L_p$-不变性原则，那么其相应的线性过程的部分和也满足。
In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the weak invariance principle for partial sums of linear processes with short memory. We prove that whenever the partial sums of innovations satisfy the $L_p$--invariance principle, then so does the partial sums of its corresponding linear process.