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Limit theorems with rate of convergence under sublinear expectations

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 نشر من قبل Xiao Fang
 تاريخ النشر 2017
  مجال البحث
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Under the sublinear expectation $mathbb{E}[cdot]:=sup_{thetain Theta} E_theta[cdot]$ for a given set of linear expectations ${E_theta: thetain Theta}$, we establish a new law of large numbers and a new central limit theorem with rate of convergence. We present some interesting special cases and discuss a related statistical inference problem. We also give an approximation and a representation of the $G$-normal distribution, which was used as the limit in Peng (2007)s central limit theorem, in a probability space.



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