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Sibirskii Matematicheskii Zhurnal, 2006, Volume 47, Number 6, Pages 1355–1371
(Mi smj939)
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This article is cited in 30 scientific papers (total in 30 papers)
Estimates in the invariance principle in terms of truncated power moments
A. I. Sakhanenko Ugra State University
Abstract:
We obtain estimates for the distributions of errors which arise in approximation of a random polygonal line by a Wiener process on the same probability space. The polygonal line is constructed on the whole axis for sums of independent nonidentically distributed random variables and the distance between it and the Wiener process is taken to be the uniform distance with an increasing weight. All estimates depend explicitly on truncated power moments of the random variables which is an advantage over the earlier estimates of Komlos, Major, and Tusnady where this dependence was implicit.
Keywords:
invariance principle, Prokhorov distance, method of the same probability space, rate of convergence, unimprovable estimates.
Received: 30.05.2006
Citation:
A. I. Sakhanenko, “Estimates in the invariance principle in terms of truncated power moments”, Sibirsk. Mat. Zh., 47:6 (2006), 1355–1371; Siberian Math. J., 47:6 (2006), 1113–1127
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https://www.mathnet.ru/eng/smj939 https://www.mathnet.ru/eng/smj/v47/i6/p1355
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Abstract page: | 545 | Full-text PDF : | 182 | References: | 61 |
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