The asymptotic distribution of extreme sums

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Let \(X_{1,n}\leq\ldots\leq X_{n,n}\) be the order statistics of \(n\) independent random variables with a common distribution \(F\), and let \(T_ n=X_{n,n}+\ldots+X_{n+1-k(n),n}\), where \(\{k(n)\}\) is a sequence of positive integers such that \(k(n)\rightarrow\infty\) and \(k(n)/n\rightarrow\alpha\) as \(n\rightarrow\infty\), with \(0\leq\alpha<1\). The authors give conditions for the existence of constants \(A_ n>0\) and \(C_ n\) such that \(E_ n=(T_ n-C_ n)/A_ n\) converges in distribution along a subsequence to a nondegenerate limit, and completely describe the possible subsequential limit distributions. A necessary and sufficient condition for the asymptotic normality of \(E_ n\) along a given subsequence is given. Limiting distributions of \(E_ n\) along the whole sequence are determined when \(F\) is in the domain of attraction of an extreme value distribution.




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