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Strong Approximation for Long Memory Processes with Applications

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Abstract

In this paper we inverstigate the strong approximation of a linear process with long memory to a Gaussian process. The results are then applied to derive the law of the iterated logarithm and Darling–Erdős type theorem for long memory processes under ideal conditions.

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Wang, Q., Lin, YX. & Gulati, C.M. Strong Approximation for Long Memory Processes with Applications. Journal of Theoretical Probability 16, 377–389 (2003). https://doi.org/10.1023/A:1023570510824

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  • DOI: https://doi.org/10.1023/A:1023570510824

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