**5**

votes

**2**answers

122 views

### Reference to iterated logarithm law and Smirnov law of empirical CDF

I am reading V. Vapnik's "Statistical Learning Theory". The author layouts following two statistical laws related to empirical CDF. I am looking for reference about proofs on these two laws.
Let ...

**2**

votes

**0**answers

47 views

### Functions whose Laplace transforms have prescribed behavior at minus infinity

Let $f:\mathbb{R}\rightarrow\mathbb{R}$ be a non-negative function with entire Laplace transform $\hat{f}$ (in particular $\lim_{t\to \infty}e^{st}f(t)=0$ for all $s$), and $p_0$ a positive integer. ...

**3**

votes

**0**answers

230 views

### Unusual generalization of the law of large numbers

I have seen in physical literature
an example of application of a very unusual form of the law of large numbers. I would like to understand how legitimate is the use of it, whether there are ...

**10**

votes

**4**answers

797 views

### Rate of convergence in the Law of Large Numbers

I'm working on a problem where I need information on the size of $E_n=|S_n-n\mu|$, where $S_n=X_1+\ldots+X_n$ is a sum of i.i.d. random variables and $\mu=\mathbb EX_1$. For this to make sense, the ...

**2**

votes

**1**answer

83 views

### Berry-Esseen bound in 2 dimensions for linear combinations

Let us say have a sequence of $n$ 2-$D$ random variables $X_i=(\varepsilon_i/\sqrt{n},i\varepsilon_{i}\sqrt{6}/n^{3/2})$, where $\varepsilon_{i}$ are independent random variables such that ...

**3**

votes

**1**answer

191 views

### Approximating by independent Poisson random variables

Using the Chen-Stein method, one can bound the total variation distance between a sum of possibly dependent Bernoulli random variables $W=\sum_{i=1}^n X_i$ and a Poisson distribution using only the ...

**6**

votes

**0**answers

90 views

### Rate of Convergence of Compound Poisson Laws to Infinitely Divisible Laws

It is known that every infinitely divisible random variable is the limit in law of a sequence of compound Poisson random variables (see for instance Theorem 1.2.18 of Lévy Processes and Stochastic ...

**3**

votes

**0**answers

132 views

### On the decay of correlations of an ergodic sequence over the set $X_{0}=0$

The following question arose while I was trying to explore possible further extensions of a CLT by Liverani which I mentioned here already (see this link, I can tell you more details upon request). It ...

**2**

votes

**0**answers

105 views

### Under what conditions do time averages of ergodic transformations satisfy a central limit theorem?

Let $(X, \mu)$ be a probability space and $T:X\rightarrow X $ an ergodic transformation, i.e. $T$ is measure preserving and the only $T$ invariant subspaces have either measure $0$ or measure $1$ ...

**1**

vote

**0**answers

116 views

### Is it possible to improve the order of convergence of averages of random variables if they are not identically distributed?

Let $X_n$ be a sequence of independent random variables (but not necessarily identically distributed)
taking values in $[-1,1]$ that have the following property:
1) The average $A_n := \frac{(X_1+ ...

**1**

vote

**0**answers

84 views

### limit distribution of multinomial distribution with increasing categories

If $\bf{X} \sim \text{multi}(n,p)$ with $k$ categories, we know
$$ \sqrt{n}\left( \frac{\bf{X}}{n} - \bf{p} \right) \rightarrow^D N(0,\Sigma),$$
where $\bf{X}=(X_1,\ldots,X_k)^T$ and ...

**1**

vote

**0**answers

71 views

### Local limit theorem for an infinite dimensional integer lattice

Can someone refer me to a local limit theorem for the sum ${\bf S} = \sum_{i=1}^n{\bf X}_i$ of a sequence of independent and identically distributed $d$-dimensional random variables $\{{\bf ...

**0**

votes

**0**answers

63 views

### Central limit theorems for unequal probability sampling (weak but ill-defined dependence)

Suppose we are choosing samples of size $s$ from a finite population
$\{a_1, a_2, \dots , a_n\}$
where our sampling is with unequal probabilities. Construct
$$
S_n = \sum_{k=1}^{n} a_k
$$
Under what ...

**3**

votes

**0**answers

152 views

### Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback.
Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...

**4**

votes

**1**answer

220 views

### Expectation of ratio of functions of i.i.d. Bernoullis: a concentration question

Consider the following $n \times n$ symmetric matrix of i.i.d. Bernoulli random variables, $X_{ij}$. For $i=1,...,n$ and $i<j\le n$. Let $X_{ij} \sim \text{Bernoulli}(p)$ when $i \ne j$ ($p$ ...

**4**

votes

**1**answer

410 views

### Sum of a random number of identically distributed but dependent random variables?

Background
Let $X_t$ be the continuous time Markov process on the state space {Working, Broken} with failure rate $\alpha$ and repair rate $\beta$. By elementary calculations [1]
$$
\begin{align*}
...

**1**

vote

**1**answer

198 views

### Central limit theorem and convergence of means [closed]

If $Z_1,Z_2,Z_3,\ldots$ are i.i.d. with $P(Z_i=-1) = P(Z_i=+1) = \frac 12,$ then we have by the Central Limit Theorem that $\frac{\sum_{i=1}^n Z_i}{\sqrt{n}}\stackrel{d}{\to} \mathcal{N}(0,1),$ so ...

**1**

vote

**1**answer

171 views

### References on law of large numbers, CLT and iterated logarithm laws

Having access to those references, accumulating many results in one domain is always a bless, like Feller's book in probability, Dembo-Zeitouni's large deviation, Grimmett's percolation and recent ...

**2**

votes

**1**answer

95 views

### Lyapunov Exponents for independent-nonidentically distributed matrices?

My question is highlighted in bold at the end.
$\mathrm{\underline{Background}}$
Consider a product of i.i.d. $d\times d$ random matrices $A_{i}$
(with $\mathbb{E}\log\left\Vert A_{i}\right\Vert ...

**4**

votes

**2**answers

321 views

### Intuition on Lindeberg condition

I want to know how Lindeberg came up with the condition which is sufficient for CLT to hold ? What is the intuition behind such an expression ?

**5**

votes

**1**answer

1k views

### Convergence rate of the central limit theorem near the center of the distribution

I'm looking for fast convergence rates for the central limit theorem - when we are not near the tails of the distribution.
Specifically, from the general convergence rates stated in the Berry–Esseen ...

**2**

votes

**0**answers

74 views

### Convergence of Symmetric Iterative Proportional Fitting

Let $A$ denote a symmetric matrix of non-negative entries, whose rows (and columns) sum up to the all-positive vector $d := A\mathbf{1}$ with $\mathbf{1}$ the all-one-vector. Denote $D := diag(d)$ by ...

**4**

votes

**0**answers

119 views

### Pettis Integrability and Laws of Large Numbers

Let $(\Omega, \mathcal F, \mathbb P)$ be a probability space, and let $V$ be a topological vector space with a dual space that separates points. Let $v_n : \Omega \to V$ be a sequence of Pettis ...

**1**

vote

**1**answer

190 views

### Asymptotically independent increments random elements: Billingsley Ch:$4$

Let $X_n$ be random elements of $D$ (space of cad lag functions on $[0,1]$ as domain). $X_n$ has asymptotically independents if $0\leq s_1 \leq t_1 \leq s_2 \leq \ldots < s_r \leq t_r \leq 1$, then ...

**5**

votes

**1**answer

435 views

### Law of Iterated Logarithm for autoregressive process

Suppose that $\{X_i\}$ is an $\mathrm{AR}(r)$, defined by:
$X_{i}= h(i) + \varepsilon_i $,
$h(i)=\alpha_1 X_{i-1} + \dots + \alpha_{r} X_{i-r}$
where $\{\varepsilon_i\}$ are i.i.d. ${\cal ...

**4**

votes

**1**answer

334 views

### Donsker Theorem Billingsley

Theorems $16.1$ and $16.3$ in Billingsley Convergence of measures.
$16.1$ reads : Random variables $u_1,\ldots$ on $(\Omega,\mathcal{B},\mathbb P)$
and are i.i.d. with $0$ mean and finite variance ...

**9**

votes

**1**answer

634 views

### Generalized central limit theorem

I am looking for a generalized central limit theorem for non-square integrable stationary sequences. More precisely I suspect that when $(X_j)_{j\geqslant 1}$ is a stationary sequence such that $X_i$ ...

**14**

votes

**1**answer

2k views

### Intuition of law of iterated logarithm?

Let $X_i$ be iid random variables with $EX_i = 0$ and $Var X_i=1$ and $S_n=X_1+\cdots+X_n$. Then the law of the iterated logarithm says almost everywhere we have
...

**4**

votes

**0**answers

287 views

### Stable local limit theorems

Consider a sequence of integer valued indentically distributed centered independent random variables $X_1, X_2, \ldots$ with the additional condition that the support of $X_1$ is aperiodic. Suppose ...

**4**

votes

**6**answers

590 views

### CLT for stationary sequences with infinte variance

There is a well-known central limit theorem for as a stationary sequences.
If $( X_n )_n$ is a sationary sequence and $E X_n=0$ then under suitable mixing conditions the sequence $S_n := ...