On a non-classical invariance principle

DOI10.1016/J.SPL.2008.01.070zbMATH Open1283.60057arXivmath/0702085OpenAlexW2076357389MaRDI QIDQ730706FDOQ730706

Youri Davydov, Vladimir Rotar

Publication date: 30 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We consider the invariance principle without the classical condition of asymptotic negligibility of individual terms. More precisely, we explore the difference of the following two distributions in the space C (of continuous functions on [0,1]). The first is the distribution of the continuous piecewise linear partial-sum process generated by a sequence of independent random variables, and the second is the distribution of the similar process generated by the sequence of normal r.v.'s with the same first two moments. The novelty is that the condition of negligibility of the r.v.'s is not imposed. We establish a necessary and sufficient condition of the weak convergence of the difference mentioned to zero measure in C.

Full work available at URL: https://arxiv.org/abs/math/0702085

Recommendations

• К принципу инвариантности
• scientific article; zbMATH DE number 3938159
• scientific article
• scientific article; zbMATH DE number 1336740
• Local Invariance Principle for Independent and Identically Distributed Random Variables

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On asymptotic proximity of distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Modern Theory of Summation of Random Variables
• Title not available (Why is that?)
• Limit Theorems for Sums of Independent Random Variables with Values in Hilbert Space
• An extension of the Lindeberg-Feller theorem
• Title not available (Why is that?)
• Title not available (Why is that?)
• On summation of independent variables in a non-classical situation
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Generalization of the Lindeberg-Feller Theorem

Cited In (9)

• Title not available (Why is that?)
• On asymptotic proximity of distributions
• Combined low-thrust propulsion and invariant manifold trajectories to capture NEOs in the Sun-Earth circular restricted three-body problem
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
• Donsker's fuzzy invariance principle under the Lindeberg condition
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• Title not available (Why is that?)
• OPTION PRICING IN MARKETS WITH INFORMED TRADERS
• Title not available (Why is that?)

This page was built for publication: On a non-classical invariance principle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q730706)