Convergence of weighted partial sums when the limiting distribution is not necessarily Radon (Q1593627)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Convergence of weighted partial sums when the limiting distribution is not necessarily Radon
scientific article

    Statements

    Convergence of weighted partial sums when the limiting distribution is not necessarily Radon (English)
    0 references
    0 references
    0 references
    0 references
    17 January 2001
    0 references
    Let \((X_i)\) be a sequence of i.i.d. random variables with \(EX_i=0\) and Var\(X_i=1\). The partial sum process associated with \((X_i)\) is defined as \(S_n(t)=\sum _{i=1}^{[nt]}X_i\), \(n\geq 1.\) Further, let \(T\subset (0,\infty)\) be an interval and let \(w\) be any positive locally finite function on \(T\) (weight function). Then \[ {\mathbb B}_w= \Bigl\{f\in {\mathbb R}^T\mid \|f\|_w=\sup _T |f(t)|w(t)<\infty \Bigr\} \] equipped with the \(\|.\|_w\) norm is a Banach space. Let \(\mathbb {D}_w\) denote the closed subspace of \(\mathbb {B}_w\) consisting of all right continuous functions having left-hand-side limits. The main result of the paper is the following: Let \(w\) be a weight function such that the \(\sigma \)-algebra generated by balls in \(\mathbb {D}_w\) is contained in \(\text{Borel}^T\cap \mathbb {D}_w\). Then the following are equivalent: (i) \(\|B\|_w<\infty \) a.s. for any Brownian motion \(B\) on \(\mathbb {B}_w\) (the corresponding Wiener measure need not be Radon); (ii) any partial sum process induces a sequence of \(\mathbb {B}_w\)-valued random variables \(S_n\) such that \(\lim _{n\to \infty} \frac {\|S_n\|_w}{\sqrt {n}}=\|B\|_w\) in distribution; (iii) any partial sum process induces a sequence of \(\mathbb {B}_w\)-valued random variables \(S_n\) such that \(\{\|S_n\|_w/\sqrt {n}\}\) is bounded in probability.
    0 references
    Brownian motion
    0 references
    convergence in distribution
    0 references
    non-Radon measure
    0 references
    partial sum process
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers