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

DOI10.1007/S12044-013-0109-8zbMATH Open1275.60034arXiv1008.0276OpenAlexW2020866299MaRDI QIDQ1948993FDOQ1948993

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)

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.

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

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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)

Cites Work

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Cited In (6)

• Title not available (Why is that?)
• Convergence in law of partial sum processes in \(p\)-variation norm
• Title not available (Why is that?)
• 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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