A Note on the Mixingale Limit Theorem by McLeish (1977)

Shin Ikeda ()

No 13-11, GRIPS Discussion Papers from National Graduate Institute for Policy Studies

Abstract: The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identi ed and fi xed by a skipped sub-sampling of a partial sum process in the continuous time. The corrected proof also delivers some extensions of the previous invariance principle and several stronger versions of convergence in law.

Pages: 13 pages
Date: 2013-07
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