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Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences

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  • Dedecker, Jérôme
  • Merlevède, Florence

Abstract

We prove a strong invariance principle for the Kantorovich distance between the empirical distribution and the marginal distribution of stationary α-mixing sequences.

Suggested Citation

  • Dedecker, Jérôme & Merlevède, Florence, 2021. "Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences," Statistics & Probability Letters, Elsevier, vol. 171(C).
    • Handle: RePEc:eee:stapro:v:171:y:2021:i:c:s0167715220302947
    DOI: 10.1016/j.spl.2020.108991
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    References listed on IDEAS

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    1. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
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