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

Probability 2014-07-17 v3 Statistics Theory Statistics Theory

Abstract

We establish an invariance principle for a general class of stationary random fields indexed by Zd\mathbb Z^d, under Hannan's condition generalized to Zd\mathbb Z^d. 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.

Keywords

Cite

@article{arxiv.1403.4613,
  title  = {An invariance principle for stationary random fields under Hannan's condition},
  author = {Dalibor Volný and Yizao Wang},
  journal= {arXiv preprint arXiv:1403.4613},
  year   = {2014}
}

Comments

Minor revision