Error estimation in the method of dependent tests for multiple parametric integrals with infinite variance (Q1571137): Difference between revisions

The authors consider the problem of constructing confidence intervals for parametric multiple integrals in the case of infinite variance. These intervals are calculated by the method of dependent tests in a uniform norm with respect to the parameter. In this case the authors apply the stable limit theorem in the space \({\mathbf{C}}([t_1,t_2])\) of a continuous functions. It is shown that, under certain conditions, the sequence of approximation weakly converges in its distribution in the space \({\mathbf{C}}(T)\) of continuous functions to a certain nondegenerate limit, continuous process, which is referred to as the stable process.