Central limit theorem, weak law of large numbers for martingales in Banach spaces, and weak invariance principle -- a quantitative study

DOI10.1006/JMVA.1995.1009MaRDI QIDQ1343352zbMATH OpenOpenAlexFDO

Publication date 22 April 1997

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1995.1009

central limit theorem in Banach spaces Lindeberg's operator method martingale difference sequence martingales in Banach spaces

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Martingales with discrete parameter (60G42)

Review text

The main result of the paper is an estimate of proximity between expectations of smooth functionals of a Banach-space-valued martingale and of an infinitely divisible random element, respectively. A corresponding result is obtained for the \(B\)-valued partial sum process based on a martingale difference sequence. The author uses the well-known Lindeberg's operator method. Unfortunately, he does not cite a number of probability papers concerning the topic including the \(B\)-valued martingale setting.

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