Principle of conditioning revisited

Demonstratio mathematica

article

Adam Jakubowski¹ 

[1] Faculty of Mathematics and Computer Science, Nicolaus Copernicus University

关键词: principle of Conditioning;    central limit theorem;    martingales;    GARCH(1;    1) processes;    martingale transforms;    convergence in law;    stable laws;    mixtures of stable laws;   

DOI  :  10.1515/dema-2013-0368

学科分类：外科医学

来源: De Gruyter

【 摘 要 】

Principle of Conditioning is a well-known heuristic rule which allows constructing limit theorems for sums of dependent random variables from existing limit theorems for independent summands. In the paper we state a general limit theorem on converegnce to stable laws, which is valid for stationary sequences and provides a link between the Principle of Conditioning and ergodic theorems.

【 授权许可】

CC BY