Some Invariance Principles for Random Vectors in the Generalized Domain of Attraction of the Multivariate Normal Law |
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Authors: | Steven J Sepanski |
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Institution: | (1) Department of Mathematical Sciences, Saginaw Valley State University, University Center, Michigan, 48710 |
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Abstract: | For independent identically distributed random vectors belonging to the generalized Domain of Attraction of the multivariate normal law, we define two partial sum processes analogous to that of Donsker's Theorem. We prove that each converges in distribution to a Brownian Motion in the space of continuous functions. One process uses nonrandom operator normalization, and the other is a studentization of the first, using normalization by the empirical covariance operator. |
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Keywords: | Invariance principles Donsker's Theorem partial sum process generalized domain of attraction operator normalization random normalization |
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