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

\(\alpha\)-stable distributiondomain of attractionself-normalized sumsymmetric observationsweak convergence

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.

Review text

Let \(X_i\) be i.i.d. symmetric observations from the domain of attracion on an \(\alpha\)-stable distribution. Let \[ S_n(t)= \sum^{[nt]}_{i=1} X_i\quad\text{and}\quad V_{n,p}= \Biggl(\sum^n_{i=1} |X_i|^p\Biggr)^{{1\over p}}\;(p> 0) \] and define the process \(Y_{n,p}\) by \[ Y_{n,p}(t)= {S_n(t)\over V_{n,p}}+ (nt- [nt]) {X_{[nt]+ 1}\over V_{n,p}}\quad (0< t< 1). \] It is known that Donsker's theorem for \(Y_{n,2}\) holds if and only if \(\alpha 2\) (cf. [\textit{M. Csörgő}, \textit{B. Szyszkowicz} and \textit{Q. Wang}, Ann. Probab. 31, No. 3, 1228--1240 (2003; Zbl 1045.60020)]). In this paper, to obtain the limit distribution of \(Y_{n,p}\), the authors consider the four cases (i) \(0< p<\alpha\leq 2\), (ii) \(0< p=\alpha< 2\), (iii) \(p>\alpha\), (iv) \(p= \alpha= 2\), and show that, in the cases (i) and (ii), the finite-dimensional distributions converge in probability to a degenerate distribution at zero and in the cases (iii) and (iv) finite nontrivial limiting distributions exist, but (iv) is the only case in which both tightness and finite-dimensional convergence hold, and hence \(Y_{n,p}\) converges weakly to Brownian motion in \(C[0,1]\).

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Cited in

(6)

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

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