IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v150y2022icp1-18.html
   My bibliography  Save this article

Strong Gaussian approximation for cumulative processes

Author

Listed:
  • Bashtova, Elena
  • Shashkin, Alexey

Abstract

We establish the optimal rates of strong approximation by Wiener process for vector-valued cumulative processes. The Komlós–Major–Tusnády bounds are given both in the case when exponential moments exist and for the power moments case. Applications to strong invariance principle for stopped sums and birth and death processes are provided. As a tool we use a maximal inequality for sums over random intervals which is of independent interest.

Suggested Citation

  • Bashtova, Elena & Shashkin, Alexey, 2022. "Strong Gaussian approximation for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1-18.
    • Handle: RePEc:eee:spapps:v:150:y:2022:i:c:p:1-18
    DOI: 10.1016/j.spa.2022.04.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414922000849
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2022.04.003?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shao, Qi-Man, 1993. "Almost sure invariance principles for mixing sequences of random variables," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 319-334, November.
    2. Einmahl, Uwe, 1989. "Extensions of results of Komlós, Major, and Tusnády to the multivariate case," Journal of Multivariate Analysis, Elsevier, vol. 28(1), pages 20-68, January.
    3. Asmussen, Søren, 1991. "Ladder heights and the Markov-modulated M/G/1 queue," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 313-326, April.
    4. Glynn, Peter W. & Whitt, Ward, 1993. "Limit theorems for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 47(2), pages 299-314, September.
    5. Gauthier Dierickx & Uwe Einmahl, 2018. "A General Darling–Erdős Theorem in Euclidean Space," Journal of Theoretical Probability, Springer, vol. 31(2), pages 1142-1165, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liu, Weidong & Lin, Zhengyan, 2009. "Strong approximation for a class of stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 119(1), pages 249-280, January.
    2. Amir, Gideon & Benjamini, Itai & Gurel-Gurevich, Ori & Kozma, Gady, 2020. "Random walk in changing environment," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7463-7482.
    3. Christophe Cuny & Florence Merlevède, 2015. "Strong Invariance Principles with Rate for “Reverse” Martingale Differences and Applications," Journal of Theoretical Probability, Springer, vol. 28(1), pages 137-183, March.
    4. Park, Joon Y. & Shin, Kwanho & Whang, Yoon-Jae, 2010. "A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving," Journal of Econometrics, Elsevier, vol. 157(1), pages 165-178, July.
    5. S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022. "Weak convergence to derivatives of fractional Brownian motion," Papers 2208.02516, arXiv.org, revised Oct 2022.
    6. Arup Bose & Rajat Subhra Hazra & Koushik Saha, 2011. "Spectral Norm of Circulant-Type Matrices," Journal of Theoretical Probability, Springer, vol. 24(2), pages 479-516, June.
    7. J. Dedecker & C. Prieur, 2004. "Coupling for τ-Dependent Sequences and Applications," Journal of Theoretical Probability, Springer, vol. 17(4), pages 861-885, October.
    8. Ohad Perry & Ward Whitt, 2013. "A Fluid Limit for an Overloaded X Model via a Stochastic Averaging Principle," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 294-349, May.
    9. Raluca Balan & Kulik, 2005. "Self-Normalized Weak Invariance Principle for Mixing Sequences," RePAd Working Paper Series lrsp-TRS417, Département des sciences administratives, UQO.
    10. Sepehrifar, Mohammad B. & Khorshidian, Kavoos & Jamshidian, Ahmad R., 2015. "On renewal increasing mean residual life distributions: An age replacement model with hypothesis testing application," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 117-122.
    11. Glynn, Peter W. & Whitt, Ward, 2002. "Necessary conditions in limit theorems for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 199-209, April.
    12. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
    13. Hafouta, Yeor, 2023. "An almost sure invariance principle for some classes of non-stationary mixing sequences," Statistics & Probability Letters, Elsevier, vol. 193(C).
    14. Vogel, Quirin, 2021. "A note on the intersections of two random walks in two dimensions," Statistics & Probability Letters, Elsevier, vol. 178(C).
    15. Csörgo, Miklós & Norvaisa, Rimas & Szyszkowicz, Barbara, 1999. "Convergence of weighted partial sums when the limiting distribution is not necessarily Radon," Stochastic Processes and their Applications, Elsevier, vol. 81(1), pages 81-101, May.
    16. Cao, Guanqun & Wang, Li, 2018. "Simultaneous inference for the mean of repeated functional data," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 279-295.
    17. Csörgo, Miklós & Horváth, Lajos, 1996. "A note on the change-point problem for angular data," Statistics & Probability Letters, Elsevier, vol. 27(1), pages 61-65, March.
    18. Hossein Abouee-Mehrizi & Opher Baron, 2016. "State-dependent M/G/1 queueing systems," Queueing Systems: Theory and Applications, Springer, vol. 82(1), pages 121-148, February.
    19. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
    20. Zhang, Li-Xin, 1996. "Complete convergence of moving average processes under dependence assumptions," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 165-170, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:150:y:2022:i:c:p:1-18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.