On Vervaat and Vervaat-error-type processes for partial sums and renewals

DOI10.1016/J.JSPI.2006.06.019zbMATH Open1108.60029arXivmath/0401041OpenAlexW2008226476MaRDI QIDQ866641FDOQ866641

Endre Csáki, Miklós Csörgo, J. G. Steinebach, Zdzisław Rychlik

Publication date: 14 February 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: We study the asymptotic behaviour of stochastic processes that are generated by sums of partial sums of i.i.d. random variables and their renewals. We conclude that these processes cannot converge weakly to any nondegenerate random element of the space $D[0,1]$. On the other hand we show that their properly normalized integrals as Vervaat-type stochastic processes converge weakly to a squared Wiener process. Moreover, we also deal with the asymptotic behaviour of the deviations of these processes, the so-called Vervaat-error type processes.

Full work available at URL: https://arxiv.org/abs/math/0401041

zbMATH Keywords

Wiener processweak convergencestrong and weak approximations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

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Cited In (1)

• Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes

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