Strong Gaussian approximation for cumulative processes
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DOI: 10.1016/j.spa.2022.04.003
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… read more here.
Keywords: strong gaussian; approximation cumulative; gaussian approximation; cumulative processes ... See more keywords