Asymptotic results for empirical measures of weighted sums of independent random variables

DOI10.1214/ECP.V12-1273MaRDI QIDQ2461024zbMATH OpenFDO

Authors Bernard Bercu, Włodek Bryc

Publication date 19 November 2007

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607687, https://eudml.org/doc/128410

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Abstract: We prove that if a rectangular matrix with uniformly small entries and approximately orthogonal rows is applied to the independent standardized random variables with uniformly bounded third moments, then the empirical CDF of the resulting partial sums converges to the normal CDF with probability one. This implies almost sure convergence of empirical periodograms, almost sure convergence of spectra of circulant and reverse circulant matrices, and almost sure convergence of the CDF's generated from independent random variables by independent random orthogonal matrices. For special trigonometric matrices, the speed of the almost sure convergence is described by the normal approximation and by the large deviation principle.

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