A quenched invariance principle for stationary processes

2012/02/22 by Christophe Cuny, Cuny, Christophe, Dalibor Volny +1 · 1 citation
Mathematics · #60F15 (Primary) 60F05 (Secondary) #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60F05 #msc:60F15

paper · pdf · doi:10.48550/arxiv.1202.4875

arxiv created 2012/02/22 · arxiv updated 2012/02/23

Abstract

In this note, we prove a conditionally centered version of the quenched weak invariance principle under the Hannan condition, for stationary processes. In the course, we obtain a (new) construction of the fact that any stationary process may be seen as a functional of a Markov chain.

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