Abstract
We obtain an estimate for the rate of convergence of normalized Poisson sums of random variables determined by the first-order autoregression procedure to a family of Wiener processes.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 9, pp. 1155–1174, September, 2006.
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Bondarev, B.V., Baev, A.V. Invariance principle for one class of Markov chains with fast Poisson time. Estimate for the rate of convergence. Ukr Math J 58, 1307–1328 (2006). https://doi.org/10.1007/s11253-006-0135-0
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DOI: https://doi.org/10.1007/s11253-006-0135-0