Conditional central limit theorem via martingale approximation

Details Conditional central limit theorem via martingale approximation Conditional central limit theorem via martingale approximation

2010-12-30

arxiv.org/abs/1101.0174v2

Dependence in Probability, Analysis and Number Theory. Berkes, Bradley, Dehling, Peligrad, Tichy (editors). Kendrick Press 201

Mathematics

Probability

16 pages

Scientific paper

In this paper we survey and further study partial sums of a stationary process via approximation with a martingale with stationary differences. Such an approximation is useful for transferring from the martingale to the original process the conditional central limit theorem. We study both approximations in L_2 and in L_1. The results complement the work of Dedecker Merlevede and Volny (2007), Zhao and Woodroofe (2008), Gordin and Peligrad (2009). The method provides an unitary treatment of many limiting results for dependent random variables including classes of mixing sequences, additive functionals of Markov chains and linear processes.

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