Strong Invariance Principles with Rate for “Reverse” Martingale Differences and Applications
Author
Abstract
Suggested Citation
DOI: 10.1007/s10959-013-0506-z
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Shao, Qi-Man, 1993. "Almost sure invariance principles for mixing sequences of random variables," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 319-334, November.
- Dedecker, Jérôme & Prieur, Clémentine, 2007. "An empirical central limit theorem for dependent sequences," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 121-142, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gourieroux, Christian & Jasiak, Joann, 2019.
"Robust analysis of the martingale hypothesis,"
Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
- Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.
- Bashtova, Elena & Shashkin, Alexey, 2022. "Strong Gaussian approximation for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1-18.
- Dehling, Herold & Durieu, Olivier & Volny, Dalibor, 2009. "New techniques for empirical processes of dependent data," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3699-3718, October.
- Hafouta, Yeor, 2023. "An almost sure invariance principle for some classes of non-stationary mixing sequences," Statistics & Probability Letters, Elsevier, vol. 193(C).
- Berkes, István & Hörmann, Siegfried & Schauer, Johannes, 2009. "Asymptotic results for the empirical process of stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1298-1324, April.
- Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
- Zhang, Li-Xin, 1996. "Complete convergence of moving average processes under dependence assumptions," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 165-170, October.
- Kim, Tae-Sung & Ko, Mi-Hwa, 2008. "Complete moment convergence of moving average processes under dependence assumptions," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 839-846, May.
- Florence Merlevède & Magda Peligrad, 2006. "On the Weak Invariance Principle for Stationary Sequences under Projective Criteria," Journal of Theoretical Probability, Springer, vol. 19(3), pages 647-689, December.
- Aue, Alexander & Horvth, Lajos & Huskov, Marie, 2009. "Extreme value theory for stochastic integrals of Legendre polynomials," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 1029-1043, May.
- Chen, Pingyan & Gan, Shixin, 2008. "On moments of the maximum of normed partial sums of [rho] -mixing random variables," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1215-1221, August.
- Su, Zhonggen, 2005. "The law of the iterated logarithm for character ratios," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 337-346, March.
- J. Dedecker & C. Prieur, 2004. "Coupling for τ-Dependent Sequences and Applications," Journal of Theoretical Probability, Springer, vol. 17(4), pages 861-885, October.
- Raluca Balan & Kulik, 2005. "Self-Normalized Weak Invariance Principle for Mixing Sequences," RePAd Working Paper Series lrsp-TRS417, Département des sciences administratives, UQO.
- Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
- Dehling, Herold & Durieu, Olivier, 2011. "Empirical processes of multidimensional systems with multiple mixing properties," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1076-1096, May.
- Olivier Durieu & Marco Tusche, 2014. "An Empirical Process Central Limit Theorem for Multidimensional Dependent Data," Journal of Theoretical Probability, Springer, vol. 27(1), pages 249-277, March.
- Xuejun Wang & Meimei Ge & Yi Wu, 2019. "The asymptotic properties of the estimators in a semiparametric regression model," Statistical Papers, Springer, vol. 60(6), pages 2087-2108, December.
- Liu, Weidong & Lin, Zhengyan, 2009. "Strong approximation for a class of stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 119(1), pages 249-280, January.
More about this item
Keywords
Expanding maps; Smooth dynamical systems; Strong invariance principle; Reverse martingale;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:28:y:2015:i:1:d:10.1007_s10959-013-0506-z. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.