Central limit theorem with rate of convergence under sublinear expectations Full article
| Journal |
Stochastic Processes and their Applications
ISSN: 0304-4149 |
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| Output data | Year: 2024, Volume: 172, Article number : 104353, Pages count : 16 DOI: 10.1016/j.spa.2024.104353 | ||||||
| Tags | Sublinear expectation, Central limit theorem, Lindeberg method, Rate of convergence | ||||||
| Authors |
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| Affiliations |
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Funding (1)
| 1 | Sobolev Institute of Mathematics | FWNF-2022-0010 |
Abstract:
We study rates of convergence in a central limit theorem (CLT) under sublinear expectations. We consider the form of the CLT introduced by Fang, Peng, Shao, and Song in their work in Bernoulli, 2019, where they investigated the case of Lipschitz functions. Under more general assumptions we obtain estimates in the CLT for arbitrary functions in terms of truncated third moments. Instead of using viscosity solutions of a nonlinear parabolic PDE, which is the main tool in investigations of the CLT under sublinear expectations, here we employ a simpler generalized Lindeberg method.
Cite:
Zhou Q.
, Sakhanenko A.
, Guo J.
Central limit theorem with rate of convergence under sublinear expectations
Stochastic Processes and their Applications. 2024. Т.172. 104353 :1-16. DOI: 10.1016/j.spa.2024.104353 WOS Scopus РИНЦ OpenAlex
Central limit theorem with rate of convergence under sublinear expectations
Stochastic Processes and their Applications. 2024. Т.172. 104353 :1-16. DOI: 10.1016/j.spa.2024.104353 WOS Scopus РИНЦ OpenAlex
Dates:
| Submitted: | Feb 28, 2023 |
| Accepted: | Apr 3, 2024 |
| Published online: | Apr 5, 2024 |
| Published print: | Apr 8, 2024 |
Identifiers:
| Web of science: | WOS:001226329500001 |
| Scopus: | 2-s2.0-85189627947 |
| Elibrary: | 67276074 |
| OpenAlex: | W4393970573 |