Asymptotic behavior of self-normalized trimmed sums: Nonnormal limits (Q1184100)

Let \(X,X_ 1,X_ 2,\dots\) be a sequence of symmetric nondegenerate i.i.d. random variables. For each \(n\geq 1\), define the rearrangement \(\{X_ n(i),\;i\leq n\}\) of \(\{X_ 1,\dots,X_ n\}\) so that \(| X_ n(1)|>\dots>| X_ n(n)|\), and then define the magnitude \(r\)-trimmed sum \(S_ n(r)=X_ n(r)+\dots+X_ n(n)\) for \(1\leq r\leq n\). The studentized version of \(S_ n(r)\) is \(t_ n(r)=S_ n(r)/(V_ n(r))^{1/2}\), where \(V_ n(r)=X^ 2_ n(r)+\dots+X^ 2_ n(n)\). This paper focuses on the limiting behaviour of \(\{t_ n(r_ n)\}\) for integer sequences \(\{r_ n\}\) such that \(r_ n\leq n\), \(r_ n/n\to 0\), \(r_ n\to\infty\). In particular, it is shown that \(\{t_ n(r_ n)\}\) is always stochastically compact, and the possible limiting distributions of a subsequence \(\{t_{n_ k}(r_{n_ k})\}\) are identified.