On the central limit theorem and iterated logarithm law for stationary processes

Abstract

It has recently emerged that a convenient way to establish central limit and iterated logarithm results for processes with stationary increments is to use approximating martingales with stationary increments. Functional forms of the limit results can be obtained via a representation for the increments of the stationary process in terms of stationary martingale differences plus other terms whose sum telescopes and disappears under suitable norming. Results based on the most general form of such a representation are here obtained.