Rate of convergence in the invariance principle for martingale difference arrays (Q1901218)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rate of convergence in the invariance principle for martingale difference arrays |
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Rate of convergence in the invariance principle for martingale difference arrays (English)
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7 November 1995
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Square intergrable martingale difference arrays are considered. The rate of convergence of the corresponding continuous random polygonal line to the Brownian motion is established. The technique used in the proof of the statement is based on the martingale version of the Skorokhod embedding theorem.
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martingale-difference array
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Skorokhod embedding theorem
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Lévy-Prokhorov distance
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