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Gauss序列的几乎处处不变原理
AN ALMOST SURE INVARIANCE PRINCIPLE FOR PARTIAL SUMS OF GAUSSIAN SEQUENCE
【摘要】 <正> Philipp和Stout在[1]中对一大类相依变量序列的强逼近作了讨论,特别对Gauss序列{Xn,n≥1},他们在E(sum from k=m+1 to m+n Xk)2=σ2n+O(n1-6),EXmXn+m《n-2等条件下得到{Xn}部分和Sn的Wiener过程逼近阶为n1/2-λ其中λ<min(1/60,4ε/15)。我们自然要问:在适当条件下,比如EXnXm+n《n-2,能否有更好的强逼近结果呢?回答是肯定的。在本文中我们依赖Gauss序列、对称矩阵的特殊性质及关于矩阵特征值的圆盘定理,不仅大大简化了[1]中的证明,而且
【Abstract】 Theorem: Let{Xn, n≥1} be a Gaussian random variable sequence centered at expecta tions. Assume that uniformly in m E(sum from k=m+1 to m+n Xk)2>>n, EXk2<<1. put St=S(t)=sum from k≤t Xk, t≥0; at=ESl2, p(n)=(?)|EXm+n|. Suppose that for some constants C(≥1),λ>0 p(n)≤Cn-3/2-λ (2) then, Without changing the distribution of {S(t), t≥0}, we can redefine the proecss {S(t), t≥0} on a richer probability space together with a standard Wiener process {W(t), t≥0} such that S(t)-W(bt)<<log1/2t a.s. (3) where bt=at+rt, rt<<sum from k≤t k1/2-λ.
- 【文献出处】 应用概率统计 ,Chinese Journal of Applied Probability and Statistics , 编辑部邮箱 ,1985年01期
- 【被引频次】2
- 【下载频次】33