Central Limit Theory for Lipschitz Mappings

King AJ (1987). Central Limit Theory for Lipschitz Mappings. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-87-127

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Abstract

Central limit theorems are derived for mappings that are Lipschitzian at a given point. This theory results from a new perspective on first-order behavior -- the upper pseudo-derivative, the graph of which is the contingent cone to the graph of the mapping at a given point. We adopt the general setting of the convergence in distribution of measures induced by mappings that may be multi-valued on sets of measure zero. By requiring the upper pseudo-derivative to be single-valued a.s., we obtain a central limit theorem under distinctively weaker conditions than classical Frechet differentiability.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:57
Last Modified: 21 Jul 2016 20:09
URI: http://pure.iiasa.ac.at/2925

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