The rate of convergence in the functional central limit theorem for random quadratic forms with some applications to the law of the iterated logarithm

DOI10.1007/BF01300920MaRDI QIDQ1826201zbMATH OpenFDO

Authors T. Mikosch

Publication date 1989

Published in Monatshefte für Mathematik (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/178418

zbMATH Keywords

convergence ratefunctional central limit theoremlaw of the iterated logarithmSkorokhod embedding techniques

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Martingales with discrete parameter (60G42)

Review text

Applying Skorokhod embedding techniques we prove a convergence rate in the functional central limit theorem for quadratic forms in independent random variables which satisfy a fourth moment condition. Using this result we get a law of the iterated logarithm as well as an analogue of Chung's law of the iterated logarithm for random quadratic forms.

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Cited in

(4)

• Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables
• Stein's method of exchangeable pairs in multivariate functional approximations
• On functional laws of the iterated logarithm
• Functional limit theorems for random quadratic forms

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