# Tagged Questions

For questions about limit theorems of probability theorem: (functional or not) central limit theorem, law of large numbers, law of iterated logarithm, etc...

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### Version of Donsker-Invariance-Principle

Assume we have a Levy process $(X_t)_{t\geq 0}$ with a finite second moment for all $t>0$. For simplicity, say $\operatorname{Var}\left[X_1\right]=1$. Let $\tilde{X}_t:=X_t-t\cdot E\left[X_1\right]$...
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### Is there a rate of convergence for Donsker's theorem?

For the standard CLT, one can easily estimate a rate of convergence if you assume that the random variables have a little more than two moments. Let $S_n$ be the centered-scaled sum of $n$ iid ...
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### Applications of the Central Limit Theorem in dynamical systems

There are very many papers in the area of (possibly non-uniformly) hyperbolic dynamical systems whose aim is to prove the Central Limit Theorem. In a dynamical context, this means that one: has a ...
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### CLT for sums of an infinite sequence of rv with an asymptotic distribution

Excuse me if the question is ill-posed. I'll do my best to explain the problem.I have a vector $(x^{(n)}_1, x^{(n)}_2, \ldots x^{(n)}_n),$ whose individual components can be shown to be asymptotically ...
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### 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. ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 $1$ (...