On weighted approximations in $D[0, 1]$ with applications to self-normalized partial sum processes

Csörgő, Miklós; Szyszkowicz, Barbara; Wang, Qiying

On weighted approximations in $D[0, 1]$ with applications to self-normalized partial sum processes

Authors

Csörgő, Miklós

Szyszkowicz, Barbara

Wang, Qiying

Description

Let $X, X_1, X_2,...$ be a sequence of non-degenerate i.i.d. random variables with mean zero. The best possible weighted approximations are investigated in $D[0, 1]$ for the partial sum processes $\{S_{[nt]}, 0\le t\le 1\}$, where $S_n=\sum_{j=1}^nX_j$, under the assumption that $X$ belongs to the domain of attraction of the normal law. The conclusions then are used to establish similar results for the sequence of self-normalized partial sum processes $\{S_{[nt]}/V_n, 0\le t\le 1\}$, where $V_n^2=\sum_{j=1}^nX_j^2$. $L_p$ approximations of self-normalized partial sum processes are also discussed.
22 pages