Central limit theorem under variance uncertainty

DOI10.1214/ECP.V20-4341MaRDI QIDQ894492zbMATH OpenOpenAlexFDO

Authors D. B. Rokhlin

Publication date 1 December 2015

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

Full work available at URL https://arxiv.org/abs/1506.01551

zbMATH Keywords

central limit theoremviscosity solutionsLindeberg condition\(G\)-heat equationvariance uncertainty

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Viscosity solutions to PDEs (35D40)

Abstract: We prove the central limit theorem (CLT) for a sequence of independent zero-mean random variables $x{i}_j$, perturbed by predictable multiplicative factors $lambd{a}_j$ with values in intervals $[underlinelambd{a}_j,overlinelambd{a}_j]$. It is assumed that the sequences $underlinelambd{a}_j$, $overlinelambd{a}_j$ are bounded and satisfy some stabilization condition. Under the classical Lindeberg condition we show that the CLT limit, corresponding to a "worst" sequence $lambd{a}_j$, is described by the solution $v$ of one-dimensional $G$-heat equation. The main part of the proof follows Peng's approach to the CLT under sublinear expectations, and utilizes H"{o}lder regularity properties of $v$. Under the lack of such properties, we use the technique of half-relaxed limits from the theory of viscosity solutions.

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(3)

• Central limit theorems for sub-linear expectation under the Lindeberg condition
• Central limit theorem under uncertain linear transformations
• Central limit theorem for linear processes generated by IID random variables under the sub-linear expectation

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