AN EMPIRICAL LIL FOR STATIONARY MARTINGALE DIFFERENCES: AN INVARIANCE PRINCIPLE APPROACH

Abstract

In this paper, an empirical law of the iterated logarithm is investigated in the context of a stationary and ergodic martingale differences whose values taking in a measurable space.

Keywords

• Stationary martingale differences;
• empirical LIL;
• invariance principle;
• empirical CLT;
• Markov chains;
• Baker's transformation