Invariance principles in Hölder spaces. (English) Zbl 0965.60011

Hamadouche, D.

Port. Math. 57, No. 2, 127-151 (2000).

The weak convergence of random elements in Hölder space \(H_\alpha[0,1]\) is studied, especially in a separable subspace \(H^0_\alpha\) of functions \(f\), for which the Hölderian modulus of continuity \(\omega_\alpha (f, \delta)\to 0\), as \(\delta\to 0\). J. Lamperti [Trans. Am. Math. Soc. 104, 430-435 (1962; Zbl 0113.33502)] established a Hölderian version of i.i.d. Donsker-Prokhorov’s invariance principle. In the present paper it is extended to the cases of strong mixing and of associated random variables, see the moment inequalities for the latter of T. Birkel [Ann. Probab. 16, No. 3, 1184-1193 (1988; Zbl 0647.60039)]. Similar convergence is proved for the convolution smoothing of partial sums processes. The presentation is very clear. Some proofs of auxiliary statements are given, which are known in the literature.

Reviewer: Oleksandr Kukush (Kiev)

MSC:

60B10	Convergence of probability measures
60F05	Central limit and other weak theorems
60F17	Functional limit theorems; invariance principles
62G30	Order statistics; empirical distribution functions

Keywords:

Hölder space; invariance principle; strong mixing; tightness of measures

Citations:

Zbl 0113.33502; Zbl 0647.60039