Normal approximation by Stein's method under sublinear expectations

DOI10.1016/J.SPA.2019.08.005MaRDI QIDQ2309589zbMATH OpenOpenAlexFDO

Authors Yongsheng Song

Publication date 1 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.05384

zbMATH Keywords

\(G\)-normal distributionnormal approximationStein's methodsublinear expectation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: Peng (2008)(cite{P08b}) proved the Central Limit Theorem under a sublinear expectation: extit{Let $(X_i{)}_{ige1}$ be a sequence of i.i.d random variables under a sublinear expectation $hatmathbfE$ with $hatmathbfE[X_1]=hatmathbfE[-X_1]=0$ and $hatmathbfE[|X_1{|}^3]<infty$. Setting $W_n:=frac{X}_1+cdots+X_{n}sqrtn$, we have, for each bounded and Lipschitz function $varphi$, [lim_{n ightarrowinfty}�igg|hat{mathbf{E}}[varphi(W_n)]-mathcal{N}_G(varphi)�igg|=0,] where $mathcal{N}_G$ is the $G$-normal distribution with $G(a)=frac12hatmathbfE[a{X}_1^2]$, $ainmathbbR$.} In this paper, we shall give an estimate of the rate of convergence of this CLT by Stein's method under sublinear expectations: extit{Under the same conditions as above, there exists $alphain(0,1)$ depending on $underlinesigma$ and $overlinesigma$, and a positive constant $C_{alpha,G}$ depending on $alpha,underlinesigma$ and $overlinesigma$ such that [sup_{|varphi|_{Lip}le1}�igg|hat{mathbf{E}}[varphi(W_n)]-mathcal{N}_G(varphi)�igg|leq C_{alpha,G}frac{hat{mathbf{E}}[|X_1|^{2+alpha}]}{n^{frac{alpha}{2}}},] where $overline{sigma}^2=hatmathbfE[X_1^2]$, $underline{sigma}^2=-hatmathbfE[-X_1^2]>0$ and $mathcal{N}_G$ is the $G$-normal distribution with [G(a)=frac{1}{2}hat{mathbf{E}}[aX_1^2]=frac{1}{2}(overline{sigma}^2a^+-underline{sigma}^2a^-), ain mathbb{R}.]}

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Cited in

(34)

• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• \( G\)-expectation approach to stochastic ordering
• A hypothesis-testing perspective on the \(G\)-normal distribution theory
• Law of large numbers and central limit theorem under nonlinear expectations
• On Shige Peng's central limit theorem
• Limit theorems with rate of convergence under sublinear expectations
• Stein's method for the law of large numbers under sublinear expectations
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• Distributional Uncertainty of the Financial Time Series Measured by G-Expectation
• Stein type characterization for G-normal distributions
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