关于相依随机变量弱不变原理的收敛速度

ON THE RATE OF CONVERGENCE IN THE INVARIANCE PRINCIPLE FOR DEPENDENT RANDOM VARIABLE SEQUENCE

  • 摘要: 本文在非平稳且对混合速度的要求较弱的条件下,利用(12)中的方法把混合情形的部分和的弱收敛速度问题转化为某鞅差序列的部分和过程的这一问题的讨论,然后适当截尾,用Skorohod的鞅嵌入方法,求得其收敛速度,其结果与独立同分布情形时的最佳结果相接近.

     

    Abstract: In this paper, the speeds of convergence in Donsker’s invariance principle for partial processes contructed from the mixing partial sums S_n=\sum_i=1^n X_i is studied where prokhorov’s metrio is used to measure the distance between probability distribution on σ0, 1. For underlyiug nonstationary mixing variables which finite absolute moments of an order greater than two and less than four the rate obtained is analogous to that in the case of i.i.d.r.v.-s which is known to be that in (13), but there Stationary and higher mixing speeds condition are required. The proof is used on the methods in (12), and the martingale version of Skorohod’s embedding.

     

/

返回文章
返回