Martingale approximation of non-stationary stochastic processes
arXiv:2311.03134 · doi:10.1142/S0219493706001694
Abstract
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities of large deviations) are studied.