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We establish optimal logarithmic rates of convergence in the strong invariance principle for multivariate cumulative processes in the Smith's sense. Exponential probabilistic inequalities of Komlos-Major-Tusnady type are obtained. Provided examples… Click to show full abstract
We establish optimal logarithmic rates of convergence in the strong invariance principle for multivariate cumulative processes in the Smith's sense. Exponential probabilistic inequalities of Komlos-Major-Tusnady type are obtained. Provided examples include applications to stopped sums and birth and death processes.
Keywords:
strong gaussian;
approximation cumulative;
gaussian approximation;
cumulative processes
Journal Title: Stochastic Processes and their Applications
Year Published: 2022
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Journal Title: Stochastic Processes and their Applications
Year Published: 2022
Link to full text (if available)
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recommendations!