AN INVARIANCE PRINCIPLE FOR STATIONARY p-MIXING SEQUENCES WITH INFINITE VARIANCE
Citation：
Shao Qiman.AN INVARIANCE PRINCIPLE FOR STATIONARY p-MIXING SEQUENCES WITH INFINITE VARIANCE[J].Chinese Annals of Mathematics B,1993,14(1):27~42
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Authors：
Shao Qiman;
Abstract：
This paper establishes an invariance principle for stationary $\rho-mixing$ sequences under the assumption $EX_0^2g(X_0)=\infinity$ for some continuous nondecreasing function g(x). In particular, under the infinite variance assumption, the result improves the theorems of Bradley (1988) and Shao (1989).
