Limit theorems of general functions of independent and identically distributed random variables

DOI10.1016/J.SPL.2009.08.013MaRDI QIDQ1038433zbMATH OpenOpenAlexFDO

Authors K. Nidhin, C. Chandran

Publication date 18 November 2009

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

Full work available at URL https://doi.org/10.1016/j.spl.2009.08.013

zbMATH Keywords

central limit theoremextreme value theoremfunctions of independent and identically distributed random variableslimiting distributionrandom sample sizestability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Distribution theory (60E99) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10)

Review text

Let \(\{X_n, n\geq 1\}\) be a sequence of independent and identically random variables and \(g(X_1,\dots,X_N)\) a measurable function of \(X_1,\dots, X_N)\), where \(N= n\) or \(N\) is a positive integer-valued random variable independent of \((X_n)\). It is proved that if \(g\) fulfils a certain divisibility condition and under proper normalization \(g(X_1,\dots,X_N)\) converges in distribution to a limiting random variable \(Z\), then \(Z\) is degenerate or satisfies some stability property defined by \(g\). Limit distributions for sums, maxima and minima, both for random and non-random \(N\), are presented as applications of the main theorem.

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Cites work

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Cited in

(6)

• Limit theorems for transformations of sums of iid random variables
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• On limit theorems for functions of independent random variables
• A probability limit theorem for \(\{f(nx)\}\)

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