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中国工业与应用数学学会会刊
主管:中华人民共和国教育部
主办:西安交通大学
ISSN 1005-3085  CN 61-1269/O1

工程数学学报 ›› 2022, Vol. 39 ›› Issue (2): 309-318.doi: 10.3969/j.issn.1005-3085.2022.02.010

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关于相依随机阵列的一类强偏差定理

杨珊珊,   胡  萍   

  1. 安徽工业大学数理科学与工程学院,马鞍山 243002
  • 出版日期:2022-04-15 发布日期:2022-06-15
  • 基金资助:
    国家自然科学基金 (11571142).

On Strong Deviation Theorems for Dependent Random Array

YANG Shanshan,   HU Ping   

  1. School of Mathematics & Physics, Anhui University of Technology, Ma'anshan 243002
  • Online:2022-04-15 Published:2022-06-15
  • Supported by:
    The National Natural Science Foundation of China (11571142).

摘要:

随机变量序列的强偏差定理是经典概率论强大数定理的自然推广。引入渐近广义对数似然比概念作为任意相依随机阵列与行独立随机阵列之间偏差的随机性度量。采用随机变量的截尾技术,构造带一个参数且期望为 1 的似然比,然后借助 Borel-Cantelli 引理获得随机变量序列的几乎处处收敛性。在一类钟开莱型条件下,给出了任意相依随机阵列的部分和与随机变量关于参考测度的期望之间的偏差的上、下界,并且其上、下界是广义相对熵的函数。定理的证明过程没有用复杂的测度论理论,仅采用简单的纯分析方法。所得结果推广了已有的结论,使强极限定理的应用范围更加广泛。

关键词: 随机阵列, 渐近对数似然比, 广义相对熵, 强偏差定理

Abstract:

The strong deviation theorem in probability theory is a natural extension of the classical strong law of large numbers. In this paper, we first introduce the concept of the asymptotic generalized logarithmic likelihood ratio as a random measure of deviation between the arbitrarily dependent array of random variables and an array of row-wise independent random variables. Using truncation technique for random variables, we construct likelihood ratio with one parameter and expectation of 1, then by applying of the Borel-Cantelli lemma, we derive almost everywhere convergence of random variables. Under some conditions of Chung type, we obtain the upper and lower bounds on the deviation between the partial sum of arbitrarily dependent array of random variables and the expectations of the random variable of the reference measure. And the upper and lower bounds are presented by the generalized relative entropy functions. It is worth noting that the proof of the theorem does not involve the complex measure theory, but only the simple pure analysis method. The results extend some existing conclusions and the applications of the strong limit theorem.

Key words: random array, asymptotically log likelihood ratio, generalized relative entropy, strong deviation theorem

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