Prokhorov Distance with Rates of Convergence under Sublinear Expectations

DOI10.1137/S0040585X97T990150MaRDI QIDQ5150159zbMATH OpenOpenAlexFDO

Authors Qianqian Zhou, A. I. Sakhanenko, Junyi Guo

Publication date 9 February 2021

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.11211

zbMATH Keywords

Lindeberg methodProkhorov distancesublinear expectation

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Abstract: Prokhorov distances under sublinear expectations are presented in CLT and functional CLT, and the convergence rates for them are obtained by Lindeberg method. In particular, the obtained estimate in functional CLT yields known Borovkov's estimate in classical functional CLT with explicit constant.

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Cited in

(3)

• On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
• Generalized Wasserstein distance and weak convergence of sublinear expectations
• scientific article; zbMATH DE number 5000370 (Why is no real title available?)

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