Strong approximation theorems for geometrically weighted random series and their applications

Abstract

Listen

Translate article

Let ${X_n;n\geq 0}$ be a sequence of random variables. We consider its geometrically weighted series $\xi(\beta)=\sum_{n=0}^\infty \betaX_n$ for $0<\beta < 1$. This paper proves that $\xi (\beta)$ can be approximated by $\sum_{n=0}^\infty \beta^n Y_n$ under some suitable conditions, where ${Y_n; n \geq 0}$ is a sequence of independent normal random variables. Applications to the law of the iterated logarithm for $\xi(\beta)$ are also discussed.