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Results tagged with pr.probability
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user 68785
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
2
votes
Is there a rate of convergence for Donsker's theorem?
If we assume that $F$ is 1-Lipschitz, using Kantorovich-Rubinstein duality the desired estimates can be obtained from estimates of the Wasserstein distance between (the laws of) $S_n$ and $B$. Such co …
- 171
0
votes
Quantile convergence
Yes, this is true. Note that $Q^n \to Q$ in probability iff every subsequence of $Q^n$ has a subsubsequence that converges almost surely to $Q$. Now take any subsequence of $Q^n$, and let us again den …
- 171