Martingale approximation of non-stationary stochastic processes
Probability
2023-11-07 v1
Abstract
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities of large deviations) are studied.
Keywords
Cite
@article{arxiv.2311.03134,
title = {Martingale approximation of non-stationary stochastic processes},
author = {Dalibor Volny},
journal= {arXiv preprint arXiv:2311.03134},
year = {2023}
}