How linear reinforcement affects Donsker's theorem for empirical processes

DOI10.1007/S00440-020-01001-9MaRDI QIDQ2210751zbMATH OpenOpenAlexFDO

Authors Jean Bertoin

Publication date 8 November 2020

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2005.11986

zbMATH Keywords

empirical processDonsker's theoremlinear reinforcementbridges with exchangeable increments

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Abstract: A reinforcement algorithm introduced by H.A. Simon cite{Simon} produces a sequence of uniform random variables with memory as follows. At each step, with a fixed probability $pin(0,1)$, $hat{U}_{n+1}$ is sampled uniformly from $hat{U}_1,ldots,hat{U}_n$, and with complementary probability $1-p$, $hat{U}_{n+1}$ is a new independent uniform variable. The Glivenko-Cantelli theorem remains valid for the reinforced empirical measure, but not the Donsker theorem. Specifically, we show that the sequence of empirical processes converges in law to a Brownian bridge only up to a constant factor when $p<1/2$, and that a further rescaling is needed when $p>1/2$ and the limit is then a bridge with exchangeable increments and discontinuous paths. This is related to earlier limit theorems for correlated Bernoulli processes, the so-called elephant random walk, and more generally step reinforced random walks.

Recommendations

• Universality of noise reinforced Brownian motions
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• scientific article; zbMATH DE number 863583

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Cited in

(6)

• Universality of noise reinforced Brownian motions
• Limits of Pólya urns with innovations
• Multidimensional walks with random tendency
• Reinforced random walks under memory lapses
• Strong limit theorems for step-reinforced random walks
• Correction to: ``How linear reinforcement affects Donsker's theorem for empirical processes

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