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 Probability Surveys > Vol. 3 (2006) open journal systems 


Recent advances in invariance principles for stationary sequences

Florence Merlevède, Univeristy of Paris 6
Magda Peligrad, University of Cincinnati
Sergey Utev, University of Nottingham


Abstract
In this paper we survey some recent results on the central limit theorem and its weak invariance principle for stationary sequences. We also describe several maximal inequalities that are the main tool for obtaining the invariance principles, and also they have interest in themselves. The classes of dependent random variables considered will be martingale-like sequences, mixing sequences, linear processes, additive functionals of ergodic Markov chains.

AMS 2000 subject classifications: 60G51, 60F05.

Keywords: Brownian motion, weakly dependent sequences, martingale differences, linear process, central limit theorem, invariance principle.

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Merlevède, Florence, Peligrad, Magda, Utev, Sergey, Recent advances in invariance principles for stationary sequences, Probability Surveys, 3, (2006), 1-36 (electronic).

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