On Ibragimov-Iosifescu conjecture for \(\phi\)-mixing sequences (Q749008)

Let \((X_ n)_{n\in N^*}\), \(N^*=\{1,2,...\}\), be a \(\phi\)-mixing sequence of real-valued centered random variables on a probability space (\(\Omega\),\({\mathcal K},P)\), i.e. \[ \lim_{n\to \infty}\phi_ n=0,\text{ with } \phi_ n=\sup | P(B| A)-P(B)|,\quad n\in N^*, \] where the supremum is taken over all \(A\in \sigma (X_ i,1\leq i\leq n)\) for which P(A)\(\neq 0\), all \(B\in \sigma (X_ i,i\geq m+n)\), and all \(m\in N^*\). Put \[ S_ n=\sum^{n}_{i=1}X_ i,\quad \sigma^ 2_ n=var S_ n,\quad b_ n=E | S_ n|, \] \[ W_ n(t)=S_{[nt]}/\sigma_ n,\quad \tilde W(t)=S_{[nt]}/(\sqrt{(\pi /2)}b_ n),\quad n\in N^*,\quad 0\leq t\leq 1, \] where [\(\cdot]\) denotes the greatest integer function and \(S_ 0=0\). Finally, denote by I(A) the indicator function of \(A\in {\mathcal K}\), by \(\to^{w}\) weak convergence, and by W the standard Brownian motion process on [0,1]. The following conjectures have been stated for a long time. Conjecture 1 (I. A. Ibragimov): Assume that \((X_ n)_{n\in N^*}\) is strictly stationary, E \(X^ 2_ 1<\infty\), and \(\lim_{n\to \infty}\sigma^ 2_ n=\infty\). Then \(S_ n/\sigma_ n\to^{w}\Phi_ 1\), the standard normal distribution. Conjecture 2 (the reviewer): Let \((X_ n)_{n\in X^*}\) be as in Conjecture 1. Then \(\{W_ n(t),0\leq t\leq 1\}\to^{w}W\). Clearly, Conjecture 2 implies Conjecture 1. The author [Ann. Probab. 13, 1304-1313 (1985; Zbl 0597.60018)] proved that Conjecture 2 is true under the additional assumption that \(\liminf_{n\to \infty}\sigma^ 2_ n/n\neq 0\). It is not yet known whether there exists a strictly stationary \(\phi\)-mixing sequence with \(\lim_{n\to \infty}\sigma^ 2_ n=\infty\) and \(\liminf_{n\to \infty}\sigma^ 2_ n/n=0\). If such a sequence exists, then, as shown by \textit{N. Herrndorf} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 63, 97-108 (1983; Zbl 0494.60036)], Conjecture 2 is not true. The author argues that a more general result can be expected for \(\phi\)-mixing sequences, thus stating a related conjecture as follows. Conjecture 3: Assume that \((X_ n)_{n\in N^*}\) is strictly stationary, \(\phi_ 1<1\), and \[ (*)\quad EX^ 2_ 1\quad I(| X_ 1| \leq x)\text{ is slowly varying at }\infty. \] Then \(\{\) \(\tilde W_ n(t),0\leq t\leq 1\}\to^{w}W.\) The author is able to prove that her conjecture is true when \(P(| X_ 1| >x)\) is regularly varying with exponent -2, i.e. \(P(| X_ 1| >x)\leq 1/(x^ 2h(x)),\) where h(x) is slowly varying at \(\infty\), a condition which implies (*). The proof is based on a series of auxiliary results which are interesting in themselves.