Convergence rates in the functional CLT for α-mixing triangular arrays

Yeor Hafouta

Stochastic Processes and their Applications, 2023, vol. 161, issue C, 242-290

Abstract: We obtain convergence rates (in the Levi–Prokhorove metric) in the functional central limit theorem (CLT) for partial sums Sn=∑j=1nξj,n of triangular arrays {ξ1,n,ξ2,n,…,ξn,n} satisfying some mixing and moment conditions (which are not necessarily uniform in n). For certain classes of additive functionals of triangular arrays of contracting Markov chains (in the sense of Dobrushin) we obtain rates which are close to the best rates obtained for independent random variables. In addition, we obtain close to optimal rates in the usual CLT and a moderate deviations principle and some Rosenthal type inequalities. We will also discuss applications to some classes of local statistics (e.g. covariance estimators), as well as expanding non-stationary dynamical systems, which can be reduced to non-uniformly mixing triangular arrays by an approximation argument. The main novelty here is that our results are obtained without any assumptions about the growth rate of the variance of Sn. The result are obtained using a certain type of block decomposition, which, in a sense, reduces the problem to the case when the variance of Sn is “not negligible” in comparison with the (new) number of summands.

Keywords: Functional CLT; Mixing; Triangular arrays; Non-stationary sequences (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2023.04.008

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