Invariance Principles in Probability for Triangular Arrays of $B$-Valued Random Vectors and Some Applications
de Acosta, Alejandro
Ann. Probab., Tome 10 (1982) no. 4, p. 346-373 / Harvested from Project Euclid
If $\mu_n, \nu$ are probability measures on a separable Banach space, $j_n \rightarrow \infty$ and $\mu^{jn}_n \rightarrow_w \nu$ (so $\nu$ is necessarily infinitely divisible), then it is possible to construct two row-wise independent triangular arrays $\{X_{nj}\}, \{Y_{nj}\}$ such that $\mathscr{L}(X_{nj}) = \mu_n, \mathscr{L}(Y_{nj}) = \nu^{1/jn}$ and $\max_{k \leq jn} \|S_{nk} - T_{nk}\|\rightarrow_\mathrm{P} 0$, where $S_{nk}$ and $T_{nk}$ are the respective partial row sums. Several refinements are proved. These results are applied to establish the weak convergence of the distributions of certain functionals of the partial row sums, improving well-known results of Skorohod. As concrete applications, we prove an arc-sine law for triangular arrays generalizing the Erdos-Kac law and an arc-sine law for strictly stable processes generalizing P. Levy's law for Brownian Motion.
Publié le : 1982-05-14
Classification:  Infinitely divisible measures,  triangular arrays,  invariance principle in probability,  functionals of partial row sums,  arc-sine laws,  60F17,  60B12,  60J30
@article{1176993862,
     author = {de Acosta, Alejandro},
     title = {Invariance Principles in Probability for Triangular Arrays of $B$-Valued Random Vectors and Some Applications},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 346-373},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993862}
}
de Acosta, Alejandro. Invariance Principles in Probability for Triangular Arrays of $B$-Valued Random Vectors and Some Applications. Ann. Probab., Tome 10 (1982) no. 4, pp.  346-373. http://gdmltest.u-ga.fr/item/1176993862/