Deviation inequalities for dependent sequences with applications to strong approximations

Jérôme Dedecker, Florence Merlevède and Emmanuel Rio

Stochastic Processes and their Applications, 2024, vol. 174, issue C

Abstract: In this paper, we give precise rates of convergence in the strong invariance principle for stationary sequences of bounded real-valued random variables satisfying weak dependence conditions. One of the main ingredients is a new Fuk-Nagaev type inequality for a class of weakly dependent sequences. We describe also several classes of processes to which our results apply.

Keywords: Invariance principles; Rates of convergence; Deviation inequality; Dependent sequences (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104377

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