History
By the classical central limit theorem, for fixed x, the random variable Gn(x) converges in distribution to a Gaussian (normal) random variable G(x) with zero mean and variance F(x)(1 − F(x)) as the sample size n grows.
Kolmogorov (1933) showed that when F is continuous, the supremum and supremum of absolute value, converges in distribution to the laws of the same functionals of the Brownian bridge B(t), see the Kolmogorov–Smirnov test. In 1949 Doob asked whether the convergence in distribution held for more general functionals, thus formulating a problem of weak convergence of random functions in a suitable function space.
In 1952 Donsker stated and proved (not quite correctly) a general extension for the Doob-Kolmogorov heuristic approach. In the original paper, Donsker proved that the convergence in law of Gn to the Brownian bridge holds for Uniform distributions with respect to uniform convergence in t over the interval .
However Donsker's formulation was not quite correct because of the problem of measurability of the functionals of discontinuous processes. In 1956 Skorokhod and Kolmogorov defined a separable metric d, called the Skorokhod metric, on the space of cadlag functions on, such that convergence for d to a continuous function is equivalent to convergence for the sup norm, and showed that Gn converges in law in to the Brownian bridge.
Later Dudley reformulated Donsker's result to avoid the problem of measurability and the need of the Skorokhod metric. One can prove that there exist Xi, iid uniform in and a sequence of sample-continuous Brownian bridges Bn, such that
is measurable and converges in probability to 0. An improved version of this result, providing more detail on the rate of convergence, is the Komlós–Major–Tusnády approximation.
Read more about this topic: Donsker's Theorem
Famous quotes containing the word history:
“For a transitory enchanted moment man must have held his breath in the presence of this continent, compelled into an aesthetic contemplation he neither understood nor desired, face to face for the last time in history with something commensurate to his capacity for wonder.”
—F. Scott Fitzgerald (1896–1940)
“To a surprising extent the war-lords in shining armour, the apostles of the martial virtues, tend not to die fighting when the time comes. History is full of ignominious getaways by the great and famous.”
—George Orwell (1903–1950)
“The history of this country was made largely by people who wanted to be left alone. Those who could not thrive when left to themselves never felt at ease in America.”
—Eric Hoffer (1902–1983)