Central limit theorem for linear processes generated by IID random variables under the sub-linear expectation

• 作者: LIU Wei ZHANG Yong
• 来源期刊: 高校应用数学学报B辑（英文版）
• 年，卷（期）: 2021,（2）
• 页码范围: 243-255
• 页数: 13页
• 语种: 英文
• DOI: 10.3969/j.issn.1005-1031.2021.02.007

摘要

In this paper,we investigate the central limit theorem and the invariance principle for linear processes generated by a new notion of independently and identically distributed(IID)random variables for sub-linear expectations initiated by Peng[19].It turns out that these theorems are natural and fairly neat extensions of the classical Kolmogorov's central limit theorem and invariance principle to the case where probability measures are no longer additive.