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An invariance principle for stationary random fields under Hannan’s condition

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  • Volný, Dalibor
  • Wang, Yizao

Abstract

We establish an invariance principle for a general class of stationary random fields indexed by Zd, under Hannan’s condition generalized to Zd. To do so we first establish a uniform integrability result for stationary orthomartingales, and second we establish a coboundary decomposition for certain stationary random fields. At last, we obtain an invariance principle by developing an orthomartingale approximation. Our invariance principle improves known results in the literature, and particularly we require only finite second moment.

Suggested Citation

  • Volný, Dalibor & Wang, Yizao, 2014. "An invariance principle for stationary random fields under Hannan’s condition," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4012-4029.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:12:p:4012-4029
    DOI: 10.1016/j.spa.2014.07.015
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    References listed on IDEAS

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    1. Volný, Dalibor, 1993. "Approximating martingales and the central limit theorem for strictly stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 44(1), pages 41-74, January.
    2. Poghosyan, S. & Roelly, S., 1998. "Invariance principle for martingale-difference random fields," Statistics & Probability Letters, Elsevier, vol. 38(3), pages 235-245, June.
    3. El Machkouri, Mohamed & Volný, Dalibor & Wu, Wei Biao, 2013. "A central limit theorem for stationary random fields," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 1-14.
    4. Bradley, Richard C., 1989. "A caution on mixing conditions for random fields," Statistics & Probability Letters, Elsevier, vol. 8(5), pages 489-491, October.
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    Citations

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    Cited by:

    1. Lin, Han-Mai & Merlevède, Florence, 2022. "On the weak invariance principle for ortho-martingale in Banach spaces. Application to stationary random fields," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 198-220.
    2. Klicnarová, Jana & Volný, Dalibor & Wang, Yizao, 2016. "Limit theorems for weighted Bernoulli random fields under Hannan’s condition," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1819-1838.
    3. Na Zhang & Lucas Reding & Magda Peligrad, 2020. "On the Quenched Central Limit Theorem for Stationary Random Fields Under Projective Criteria," Journal of Theoretical Probability, Springer, vol. 33(4), pages 2351-2379, December.
    4. Tempelman, Arkady, 2022. "Randomized multivariate Central Limit Theorems for ergodic homogeneous random fields," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 89-105.
    5. Guy Cohen & Jean-Pierre Conze, 2017. "CLT for Random Walks of Commuting Endomorphisms on Compact Abelian Groups," Journal of Theoretical Probability, Springer, vol. 30(1), pages 143-195, March.
    6. Peligrad, Magda & Zhang, Na, 2018. "On the normal approximation for random fields via martingale methods," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1333-1346.
    7. Volný, Dalibor, 2019. "On limit theorems for fields of martingale differences," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 841-859.
    8. Michael C. Tseng, 2019. "A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields," Papers 1910.02577, arXiv.org.
    9. Davydov, Youri & Tempelman, Arkady, 2024. "Randomized limit theorems for stationary ergodic random processes and fields," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
    10. Magda Peligrad & Dalibor Volný, 2020. "Quenched Invariance Principles for Orthomartingale-Like Sequences," Journal of Theoretical Probability, Springer, vol. 33(3), pages 1238-1265, September.

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