A limit theorem for random products of trimmed sums of i.i.d. random variables (Q642431): Difference between revisions

Summary: Let \(\{X, X_i; i \geq 1\}\) be a sequence of independent and identically distributed positive random variables with a continuous distribution function \(F\), and \(F\) has a medium tail. Let \(S_n = \sum^n_{i=1} X_i, S_n(a) = \sum^n_{i=1} X_iI(M_n - a < X_i \leq M_n)\) and \(V^2_n = \sum^n_{i=1} (X_i - \overline{X})^2\), where \(M_n = {\max}_{1{\leq}i{\leq}n} X_i\), \(\overline{X} = (1/n) \sum^n_{i=1} X_i\), and \(a > 0\) is a fixed constant. Under some suitable conditions, we show that \[ (\prod^{[nt]}_{k=1} (T_k(a)/{\mu}k))^{{\mu}/V_{n}} \overset{d}{\rightarrow} \exp \{\int^t_0 (W(x)/x)\,dx\} \in D[0, 1],\text{ as }n \rightarrow \infty, \] where \(T_k(a) = S_k - S_k(a)\) is the trimmed sum and \(\{W(t); t \geq 0\}\) is a standard Wiener process.