Forward-backward martingale decomposition and compactness results for additive functionals of stationary ergodic Markov processes

被引：20

作者：

Wu, LM ^{[1
]}

机构：

[1] Univ Blaise Pascal, Lab Math Appl, CNRS, UMR 6620, F-63177 Aubiere, France

[2] Wuhan Univ, Dept Math, Wuhan 430072, Hubei, Peoples R China

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1999年 / 35卷 / 02期

关键词：

forward-backward martingale decomposition; the functional central limit theorem or Donsker's invariance principle; the functional law of iterated logarithm or; Strassen's strong invariance principle;

D O I：

10.1016/S0246-0203(99)80008-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We extend the forward-backward martingale decomposition of Meyer-Zheng-Lyons's type from the symmetric case to the general stationary situation for the partial sum S.(f) with f satisfying a finite energy condition. As corollaries we obtain easily a maximal inequality and a tightness result related to Donsker's invariance principle, and especially a criterion of a.s. compactness related to Strassen's strong invariance principle. (C) Elsevier, Paris.

引用

页码：121 / 141

页数：21

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