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Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 4, Pages 734–752
(Mi tvp4363)
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This article is cited in 20 scientific papers (total in 20 papers)
Convergence of numerical characteristics of sums of independent random variables with vakues in a Hilbert space
V. M. Kruglov M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Abstract:
Let $\xi_{n1},\xi_{n2},\dots,\xi_{nm_n}$ be an array of row wise independent random variables with values in a Hilbert space $H$, and let $\varphi$ be a continuous function such that, for any elements $x,y\in H$,
$$
\varphi(x+y)\leq \varphi(x)\varphi(y)\ \text{and}\ \inf_{x\in H} \varphi(x)>0.
$$
Assume that $F_n$ (the probability distributions of $\xi_n=\xi_{n1}+\dots+\xi_{nm_n}$) converge weakly to a probability distribution $F$. We prove that
$$
\lim_{n\to\infty}\int_H\varphi(x)F_n(dx)=\int_H\varphi(x)F(dx)
$$
if and only if
$$
\lim_{R\to\infty}\sup_n\sum_{j=1}^{m_n}\int_{||x||>R}\varphi(x)F_{nj}^{(s)}(dx)=0,
$$
where $F_{nj}$ is the probability distributionof the random variable $\xi_{nj}, F_{nj}^{(s)}=F_{nj}*\overline{F}_{nj}$, $\overline{F}_{nj}(A)=F_{nj}(-A)$.
Some results are derived from this theorem.
Received: 20.07.1972
Citation:
V. M. Kruglov, “Convergence of numerical characteristics of sums of independent random variables with vakues in a Hilbert space”, Teor. Veroyatnost. i Primenen., 18:4 (1973), 734–752; Theory Probab. Appl., 18:4 (1974), 694–712
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https://www.mathnet.ru/eng/tvp4363 https://www.mathnet.ru/eng/tvp/v18/i4/p734
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