Darling-Erdős theorem for self-normalized sums (Q1394523)

The Darling-Erdős theorem states that under various conditions the suitably normalized sequential maximum of partial sums \(S_n\) of i.i.d. random variables \( X_i \), i.e. \(\max \{ S_k / \sigma_k : k \leq n \},\) is asymptotically distributed like a Gumbel distribution. Self-normalized sums are given by \(S_n/V_n\) where \(V_n^2 \) denote the partial sums of the squares \(X^2_i\). It is well-known that the normalized sums are asymptotically standard normal iff \(X_1\) has expectation zero and \(X_1\) lies in the domain of attraction of the normal law. For a special class of these distributions with infinite second moment the Darling-Erdős theorem is proved.