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ВИДЕОТЕКА |
5-ая международная конференция по стохастическим методам 2020
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A multivariate central limit theorem for weighted sums Sagak Ayvazyan, Vladimir Ulyanov |
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Аннотация: We consider the "typical" behavior of the weighted sums of independent identically distributed random vectors in k-dimensional space. It is shown that in this case the rate of convergence in the multivariate central limit theorem is of order O(1/n) up to logarithmic factor. This extends the one-dimensional Klartag and Sodin result. |