• Journal of the Korean Mathematical Society
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• v.33 no.4
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• pp.909-928
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• 1996

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.

• Bulletin of the Korean Mathematical Society
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• v.55 no.1
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• pp.9-23
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• 2018

In this paper, inspired by the fractional Brownian sheet of Riemann-Liouville type, we introduce the operator fractional Brownian sheet of Riemman-Liouville type, and study some properties of it. We also present an approximation in law to it based on the martingale differences.

• Communications of the Korean Mathematical Society
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• v.14 no.3
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• pp.581-595
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• 1999

In the present paper we provide a short of the uni-form CLT for the function-indexed martingale difference process under the uniformly integrable entropy by establishing a maximal inequality.

• Journal of the Korean Mathematical Society
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• v.52 no.5
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• pp.1023-1036
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• 2015

Let {Xn; $n{\succeq}1$} be a field of martingale differences taking values in a p-uniformly smooth Banach space. The paper provides conditions under which the series ${\sum}_{i{\preceq}n}\;Xi$ converges almost surely and the tail series {$Tn={\sum}_{i{\gg}n}\;X_i;n{\succeq}1$} satisfies $sup_{k{\succeq}n}{\parallel}T_k{\parallel}=\mathcal{O}p(b_n)$ and ${\frac{sup_{k{\succeq}n}{\parallel}T_k{\parallel}}{B_n}}{\rightarrow\limits^p}0$ for given fields of positive numbers {bn} and {Bn}. This result generalizes results of A. Rosalsky, J. Rosenblatt [7], [8] and S. H. Sung, A. I. Volodin [11].

• Journal of the Korean Mathematical Society
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• v.32 no.3
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• pp.427-446
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• 1995

Let S be a set and B be a $\sigma$-field on S. We consider $(\Omega = S^Z, T = B^z, P)$ as the basic probability space. We denote by T the left shift on $\Omega$. We assume that P is invariant under T, i.e., $PT^{-1} = P$, and that T is ergodic. We denote by $X = \cdots, X_-1, X_0, X_1, \cdots$ the coordinate maps on $\Omega$. From our assumptions it follows that ${X_i}_{i \in Z}$ is a stationary and ergodic process.

• Bulletin of the Korean Mathematical Society
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• v.51 no.2
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• pp.317-328
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• 2014

In Bae et al. [2], we have considered the uniform CLT for the martingale difference arrays under the uniformly integrable entropy. In this paper, we prove the same problem under the bracketing entropy condition. The proofs are based on Freedman inequality combined with a chaining argument that utilizes majorizing measures. The results of present paper generalize those for a sequence of stationary martingale differences. The results also generalize independent problems.

• Journal of the Korean Statistical Society
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• v.35 no.4
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• pp.453-458
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• 2006

It is well known fact for the iid data that the limiting standard errors of sample autocorrelations are all unity for all time lags and they are asymptotically independent for different lags (Brockwell and Davis, 1991). It is also usual practice in time series modeling that this fact continues to be valid for white noise series which is a sequence of uncorrelated random variables. This paper contradicts this usual practice for white noise. We consider a sequence of martingale differences which belongs to white noise time series and derive exact joint asymptotic distributions of sample autocorrelations. Some implications of the result are illustrated for conditionally heteroscedastic time series.