Convergence to stable laws in relative entropy (Q376268): Difference between revisions
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Latest revision as of 00:50, 7 July 2024
scientific article
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English | Convergence to stable laws in relative entropy |
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Convergence to stable laws in relative entropy (English)
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4 November 2013
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Let \(X\) and \(Z\) be random variables with distributions \(\mu\) and \(\nu\), respectively. The relative entropy distance \(D(X||Z)\) is defined by \(D(X||Z)=\int_{R}\log(d\mu/d\nu)d\mu\) provided that \(\mu < \nu\); otherwise \(D(X||Z)=\infty\). Let \((X_{n})_{n\geq 1}\) be i.i.d. random variables, and assume that the normalized sums \(Z_{n}=(X_1+\dots +X_{n})/b_{n}-a_{n}\), where \(a_{n} \in R\) and \(b_{n}>0\), converge weakly to a random variable \(Z\) with a non-extremal stable distribution. The main result states that \(D(Z_{n}|| Z) \to 0\) as \(n \to \infty\) if and only if \(D(Z_{n_0}|| Z) \leq \infty\) for some \(n_0\). Reviewer's remark: The wrong statement ``By convexity of the function \(u \to \log(1+u)\), \(u \geq 0\)'' in the proof of Corollary 2.6 casts doubt about its validity.
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entropy
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entropic distance
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central limit theorem
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stable law
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