On Zhao-Woodroofe's condition for martingale approximation

Jana Klicnarova (University of South Bohemia)
Dalibor Volny (Université de Rouen)

Abstract


The Zhao-Woodroofe condition is a necessary and sufficient condition for the existence of a martingale approximation of a causal stationary process. Here, a nonadapted version is given and the convergence of Cesaro averages is replaced by a convergence of a subsequence. The nonadapted version is of a different form than in other cases, e.g. of Wu-Woodroofe or Maxwell-Woodroofe conditions.

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Pages: 1-8

Publication Date: May 20, 2013

DOI: 10.1214/ECP.v18-2780

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