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On the invariance principle for sums of independent identically distributed random variables

Author

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  • Major, Péter

Abstract

The paper deals with the invariance principle for sums of independent identically distributed random variables. First it compares the different possibilities of posing the problem. The sharpest results of this theory are presented with a sketch of their proofs. At the end of the paper some unsolved problems are given.

Suggested Citation

  • Major, Péter, 1978. "On the invariance principle for sums of independent identically distributed random variables," Journal of Multivariate Analysis, Elsevier, vol. 8(4), pages 487-517, December.
    • Handle: RePEc:eee:jmvana:v:8:y:1978:i:4:p:487-517
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    Cited by:

    1. J. Dedecker & C. Prieur, 2004. "Coupling for τ-Dependent Sequences and Applications," Journal of Theoretical Probability, Springer, vol. 17(4), pages 861-885, October.
    2. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
    3. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
    4. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
    5. Rippl, Thomas & Munk, Axel & Sturm, Anja, 2016. "Limit laws of the empirical Wasserstein distance: Gaussian distributions," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 90-109.

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