A Gaussian approximation theorem for L\'evy processes
Probability
2021-07-01 v2 Statistics Theory
Statistics Theory
Abstract
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for L\'evy processes. This theorem can be viewed as a continuous-time extension of the classical random walk result by Friedman, Katz and Koopmans.
Cite
@article{arxiv.2104.13855,
title = {A Gaussian approximation theorem for L\'evy processes},
author = {David Bang and Jorge Ignacio González Cázares and Aleksandar Mijatović},
journal= {arXiv preprint arXiv:2104.13855},
year = {2021}
}
Comments
4 pages