Prokhorov distance with rates of convergence under sublinear expectations

Published 23 Apr 2020 in math.PR | (2004.11211v1)

Abstract: Prokhorov distances under sublinear expectations are presented in CLT and functional CLT, and the convergence rates for them are obtained by Lindeberg method. In particular, the obtained estimate in functional CLT yields known Borovkov's estimate in classical functional CLT with explicit constant.

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