314 research outputs found
Invariance principle for stochastic processes with short memory
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 --invariance principle, then so does the partial sums of its
corresponding linear process.Comment: Published at http://dx.doi.org/10.1214/074921706000000734 in the IMS
Lecture Notes Monograph Series
(http://www.imstat.org/publications/lecnotes.htm) by the Institute of
Mathematical Statistics (http://www.imstat.org
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