Maximum of partial sums and an invariance principle for a class of weak dependent random variables

Peligrad, Magda

doi:10.1090/S0002-9939-98-04177-X

Maximum of partial sums and an invariance principle for a class of weak dependent random variables
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Proc. Amer. Math. Soc. 126 (1998), 1181-1189 Request permission

Abstract:

The aim of this paper is to investigate the properties of the maximum of partial sums for a class of weakly dependent random variables which includes the instantaneous filters of a Gaussian sequence having a positive continuous spectral density. The results are used to obtain an invariance principle and the convergence of the moments in the central limit theorem.

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