| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We derive a new maximal inequality for stationary sequences under a martingale-type condition introduced by Maxwell and Woodroofe (2000). Then, we apply it to establish the Donsker invariance principle for this class of stationary sequences. A Markov chain example is given in order to show the optimality of the conditions imposed.
Mots Clés: asymptotic normality ; ergodic theorem ; functional central limit theorem ;
invariance principle ; martingale ; maximal inequality ; Markov chains ;
renewal sequences
Date: 2003-05-14
Prépublication numéro: PMA-819