Minimal conditions in \(p\)-stable limit theorems. II (Q1382546)
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English | Minimal conditions in \(p\)-stable limit theorems. II |
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Minimal conditions in \(p\)-stable limit theorems. II (English)
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29 March 1998
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[For part I see ibid. 44, No. 2, 291-327 (1993; Zbl 0771.60015).] Let \(\{X_n\}\) be a stationary sequence of random variables for which a \(p\)-stable limit theorem holds, i.e. there exists a nondegenerate strictly \(p\)-stable \( ( 0 < p \leq 2)\) law \(\mu \) and a \(\frac {1}{p} \) regularly varying sequence \(B_n\) such that \(\frac {S_n}{B_n} \to \mu\) as \(n\to \infty\), where \(S_n = \sum _{j=1}^n X_j\), \(n\geq 1\). Probabilities of large deviations \(P(\frac {S_n}{B_n} > x_n ) \) and \( P(\frac {S_n}{B_n} < - x_n ) \) where \(x_n \to \infty \) are studied under various conditions of dependence of \(\{X_n\}\) and for \(0 < p < 2\). The results are closely related to recent works by the author.
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stable distributions
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large deviations
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\(m\)-dependence
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mixing
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