Asymptotics for products of sums and \(U\)-statistics (Q1860580): Difference between revisions

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Latest revision as of 14:53, 2 May 2024

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Asymptotics for products of sums and \(U\)-statistics
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    Asymptotics for products of sums and \(U\)-statistics (English)
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    25 February 2003
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    \textit{B.C. Arnold} and \textit{J.A. Villaseñor} [Extremes 1, No. 3, 351-363 (1999; Zbl 0931.60011)] established the asymptotic distribution for a product of partial sums of independent exponential random variables. This paper shows that the result is more universal and applies to products of partial sums of any positive, square integrable random variables. Specifically, let \(X_1, \ldots, X_n\) be independent and identically distributed positive random variables with \(EX_1 = \mu\) and Var\((X_1) = \sigma^2 < \infty.\) Let \(S_k = X_1 + \ldots + X_k.\) Then \([\prod_{k=1}^{n} (S_k/(k\mu))]^{\mu/(\sigma \sqrt{n})}\) converges in distribution to \(\exp(\sqrt{2} {\mathcal N})\) where \({\mathcal N}\) is a standard normal variable. An extension to products of \(U\)-statistics is provided.
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    central limit theorem
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    lognormal distribution
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    products of sums
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    U-statistics
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