Donsker’s Invariance Principle Under the Sub-linear Expectation with an Application to Chung’s Law of the Iterated Logarithm
Li-Xin Zhang
Communications in Mathematics and Statistics ›› 2015, Vol. 3 ›› Issue (2) : 187 -214.
Donsker’s Invariance Principle Under the Sub-linear Expectation with an Application to Chung’s Law of the Iterated Logarithm
We prove a new Donsker’s invariance principle for independent and identically distributed random variables under the sub-linear expectation. As applications, the small deviations and Chung’s law of the iterated logarithm are obtained.
Sub-linear expectation / Capacity / Central limit theorem / Invariance principle / Chung’s law of the iterated logarithm / Small deviation
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