On the optimality of strong approximation rates for compound renewal processes

The optimality of certain approximation rates appearing in strong invariance principles for partial sums indexed by a renewal process is discussed. The results extend and unify earlier work on the best rates in the invariance principles for renewal counting processes. The motivation for this note came from a recent approximation of compound renewal processes due to Csörgo, Deheuvels and Horváth (1987), which is presented here in a slightlty extended version.

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Year of publication:	1988
Authors:	Steinebach, Josef
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1988, 4, p. 263-267
Publisher:	Elsevier
Keywords:	compound renewal processes Wiener process strong invariance principles optimal approximation rates

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259176