Process convergence of self-normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions

DOI10.1007/S12044-013-0109-8MaRDI QIDQ1948993zbMATH OpenOpenAlexFDO

Authors Arunangshu Biswas, Gopal K. Basak

Publication date 25 April 2013

Published in Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.0276

zbMATH Keywords

weak convergencedomain of attraction\(\alpha\)-stable distributionself-normalized sumsymmetric observations

Mathematics Subject Classification ID

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

Abstract: In this paper we show that the continuous version of the self normalised process $Y_{n,p}(t)=S_n(t)/V_{n,p}+(nt-[nt])X_{[nt]+1}/V_{n,p}$ where $S_n(t)=su{m}_{i=1}^{[nt]}{X}_i$ and $V_{(n,p)}=su{m}_{i=1}^n|X_i{|}^p{)}^{frac1p}$ and $X_i$ i.i.d. random variables belong to $DA(alpha)$, has a non trivial distribution iff $p=alpha=2$. The case for $2>p>alpha$ and $plealpha<2$ is systematically eliminated by showing that either of tightness or finite dimensional convergence to a non-degenerate limiting distribution does not hold. This work is an extension of the work by Cs"org"o et al. who showed Donsker's theorem for $Y_{n,2}(cdot)$, i.e., for $p=2$, holds iff $alpha=2$ and identified the limiting process as standard Brownian motion in sup norm.

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Cited in

(6)

• scientific article; zbMATH DE number 4056678 (Why is no real title available?)
• Convergence in law of partial sum processes in \(p\)-variation norm
• scientific article; zbMATH DE number 4137089 (Why is no real title available?)
• Convergence of partial sum processes to stable processes with application for aggregation of branching processes
• The self-normalized Donsker theorem revisited
• Weak convergence of self-normalized partial sums processes

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