2019•arXiv (Cornell University)Open access

Functional central limit theorems for random vectors under sub-linear expectations

Zhang Li

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Abstract

The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under the sub-linear expectation by Zhang (2019). In this paper, we consider the multi-dimensional martingale like random vectors and establish a functional central limit theorem. As applications, the Lindeberg central limit theorem for independent random vectors is established, and the sufficient and necessary conditions of the central limit theorem for independent and identically distributed random vectors are obtained.

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The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under the sub-linear expectation by Zhang (2019). In this paper, we consider the multi-dimensional martingale like random vectors and establish a functional central limit theorem. As applications, the Lindeberg central limit theorem for independent random vectors is established, and the sufficient and necessary conditions of the central limit theorem for independent and identically distributed random vectors are obtained.

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Available abstract

The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under the sub-linear expectation by Zhang (2019). In this paper, we consider the multi-dimensional martingale like random vectors and establish a functional central limit theorem. As applications, the Lindeberg central limit theorem for independent random vectors is established, and the sufficient and necessary conditions of the central limit theorem for independent and identically distributed random vectors are obtained.

Key concepts: Central limit theorem, Limit (mathematics), Mathematics, Discrete mathematics, Mathematical economics, Mathematical analysis, Statistics

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