On the functional limits for partial sums under stable law

DOI10.1016/J.SPL.2009.05.004MaRDI QIDQ840800zbMATH OpenOpenAlexFDO

Authors Khurelbaatar Gonchigdanzan, K. M. Kosiński

Publication date 14 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.1073

zbMATH Keywords

\(\alpha\)-stable lawalmost sure functional limit theorem

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Functional limit theorems; invariance principles (60F17)

Abstract: For the partial sums $(S_n)$ of independent random variables we define a stochastic process $s_n(t):=(1/d_n)su{m}_{kle[nt]}(S_k/k-mu)$ and prove that ${\displaystyle }$(1/{log N})sum_{nle N}(1/n)mathbf {I}left{s_n(t)le x ight} o G_t(x)quad ext{a.s.}${\displaystyle }$ if and only if $(1/logN)su{m}_{nleN}(1/n)mathbbPleft(s_n(t)lexight)o{G}_t(x)$, for some sequence $(d_n)$ and distribution $G_t$. We also prove an almost sure functional limit theorem for the product of partial sums of i.i.d. positive random variables attracted to an $alpha$-stable law with $alphain(1,2]$.

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Cites work

• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• A note on the almost sure limit theorem for the product of partial sums
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• Asymptotics for products of sums and \(U\)-statistics
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• scientific article; zbMATH DE number 1301677 (Why is no real title available?)
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Cited in

(7)

• Limit distributions for products of sums.
• On the functional limits for sums of a function of partial sums
• scientific article; zbMATH DE number 3984210 (Why is no real title available?)
• Almost Sure Limit Set of the Vector Sequence of Partial Sums and Delayed Sums
• Limit infimum results for subsequences of partial sums and random sums of i.i.d. random variables
• Almost sure limit theorems for stable distributions
• Functional limit theorems for sums of independent geometric Lévy processes

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