Central limit theorem under uncertain linear transformations

DOI10.1016/J.SPL.2015.08.027MaRDI QIDQ900948zbMATH OpenOpenAlexFDO

Authors D. B. Rokhlin

Publication date 23 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.01084

zbMATH Keywords

\(G\)-heat equationcentral limit theoremhalf-relaxed limitsmodel uncertaintyviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Heat equation (35K05) Central limit and other weak theorems (60F05)

Abstract: We prove a variant of the central limit theorem (CLT) for a sequence of i.i.d. random variables $x{i}_j$, perturbed by a stochastic sequence of linear transformations $A_j$, representing the model uncertainty. The limit, corresponding to a "worst" sequence $A_j$, is expressed in terms of the viscosity solution of the $G$-heat equation. In the context of the CLT under sublinear expectations this nonlinear parabolic equation appeared previously in the papers of S.Peng. Our proof is based on the technique of half-relaxed limits from the theory of approximation schemes for fully nonlinear partial differential equations.

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Cited in

(5)

• A central limit theorem for sets of probability measures
• A hypothesis-testing perspective on the \(G\)-normal distribution theory
• Asymptotic sequential Rademacher complexity of a finite function class
• Models with Uncertain Volatility
• Central limit theorem under variance uncertainty

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