Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm

DOI10.1007/S40304-015-0055-0MaRDI QIDQ2354572zbMATH OpenOpenAlexFDO

Authors Lixin Zhang

Publication date 20 July 2015

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.02845

zbMATH Keywords

capacitycentral limit theoreminvariance principlelaw of iterated logarithmsmall deviationssub-linear expectation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Limit theorems in probability theory (60F99) Generalizations of martingales (60G48)

Abstract: We prove a new Donsker's invariance principle for independent and identically distributed random variables under the sub-linear expectation. As applications, the small deviations and Chung's law of the iterated logarithm are obtained.

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Cited in

(49)

• Convergences of random variables under sublinear expectations
• The convergence of the sums of independent random variables under the sub-linear expectations
• The law of logarithm for arrays of random variables under sub-linear expectations
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• Convergence for sums of i.i.d. random variables under sublinear expectations
• Strong limit theorems for extended independent random variables and extended negatively dependent random variables under sub-linear expectations
• Central limit theorem for linear processes generated by IID random variables under the sub-linear expectation
• Equivalent conditions of complete \(p\)th moment convergence for weighted sums of i. i. d. random variables under sublinear expectations
• Another form of Chover's law of the iterated logarithm under sub-linear expectations
• Convergence to a self-normalized G-Brownian motion
• Complete convergence for arrays of rowwise END random variables and its statistical applications under sub-linear expectations
• Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
• On the asymptotic approximation of inverse moment under sub-linear expectations
• Heyde's theorem under the sub-linear expectations
• General results on precise asymptotics under sub-linear expectations
• How small are the increments of \(G\)-Brownian motion
• Optimal unbiased estimation for maximal distribution
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• Strong convergence for weighted sums of END random variables under the sub-linear expectations
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• Complete and complete integral convergence for arrays of row wise widely negative dependent random variables under the sub-linear expectations
• A complete convergence theorem for weighted sums under the sub-linear expectations
• Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm
• Exponential inequalities under sub-linear expectations with applications to strong law of large numbers
• Complete and complete integral convergence for weighted sums of arrays of rowwise widely negative dependent random variables under the sub-linear expectations
• Capacity inequalities and strong laws for \(m\)-widely acceptable random variables under sub-linear expectations
• Convergence of linear processes generated by negatively dependent random variables under sub-linear expectations
• Complete and Complete Integral Convergence for Arrays of Rowwise Extended Negatively Dependent Random Variables under Sublinear Expectations
• Strong limit theorems for weighted sums under the sub-linear expectations
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• Complete \(q\)th moment convergence of moving average processes for \(m\)-widely acceptable random variables under sub-linear expectations
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• Large deviations for the LS estimator in nonlinear regression model under sub-linear expectations
• The von Bahr-Esseen type inequality under sublinear expectations and applications
• General results on strong laws for weighted sums under sub-linear expectations with a statistical application
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• General central limit theorems for m-dependent random variables under sub-linear expectations
• Limit properties for weighted sums of residually h-integrable WOD random variables under sub-linear expectations
• Invariance principles for the law of the iterated logarithm under \(G\)-framework

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