Nearby variables with nearby conditional laws and a strong approximation theorem for Hilbert space valued martingales
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We focus on sequences of random vectors which do not admit a strong approximation of their partial sums by sums of independent random vectors. In the first part we prove conditional versions of the Strassen- Dudley theorem. We apply these in the second part of the paper to obtain strong invariance principles for vector-valued martingales which, when properly normalized, converge in law to a mixture of Gaussian distributions.
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