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Zapiski Nauchnykh Seminarov POMI, 2015, Volume 442, Pages 122–132
(Mi znsl6248)
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This article is cited in 7 scientific papers (total in 7 papers)
Tightness of the sums of independent identically distributed pseudo-poissonian processes in the Skorokhod space
O. V. Rusakov St. Petersburg State University, St. Petersburg, Russia
Abstract:
We consider pseudo-poissonian process of the following simple type: it is a poissonian subordinator for a sequence of i.i.d. random variables with a finite variance. Next we consider sums of i.i.d. copies of such pseudo-poissonian process. For a family of the distributions of these random sums we prove the tightness (relative compactness) in the Skorokhod space. Under conditions of the Central Limit Theorem for vectors we obtain a weak convergence in the functional Skorokhod space of the examined sums to the Ornstein–Uhlenbeck process.
Key words and phrases:
poissonian subordinators for sequences, sums of i.i.d. pseudo-poissonian processes, tightness of a family of distributions in the Skorokhod space, convergence to the Ornstein–Uhlenbeck process in the functional Skorokhod space.
Received: 07.12.2015
Citation:
O. V. Rusakov, “Tightness of the sums of independent identically distributed pseudo-poissonian processes in the Skorokhod space”, Probability and statistics. Part 23, Zap. Nauchn. Sem. POMI, 442, POMI, St. Petersburg, 2015, 122–132; J. Math. Sci. (N. Y.), 225:5 (2017), 805–811
Linking options:
https://www.mathnet.ru/eng/znsl6248 https://www.mathnet.ru/eng/znsl/v442/p122
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