On a limit theorem for a non-linear scaling

DOI10.1016/J.SPL.2021.109163MaRDI QIDQ2244576zbMATH OpenOpenAlexFDO

Authors Zbigniew J. Jurek

Publication date 12 November 2021

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

Full work available at URL https://arxiv.org/abs/1906.10522

zbMATH Keywords

functional equationLaplace transformweak convergence

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

Abstract: In this note, we proved that weak limits, of sums of independent positive identically distributed random variables which are re-normalized by a non-linear shrinking transform $max(0,x-r)$, are either degenerate or (some) compound Poisson distributions.

Review text

In this short note, positive random variables are normalized by a non-linear shrinking transformation (s-operation), \(\max\{0, x-r\}\), and then partial sums are computed. A limit theorem for those sums is proved for non-negative independent and identically distributed variables. The main result is interesting. A historical note on the s-operations is also given.

Recommendations

• A nonlinear law of large numbers
• One technique of nonlinear normalization of random variables
• scientific article; zbMATH DE number 3913356
• Limiting distribution of sums of nonnegative stationary random variables
• scientific article; zbMATH DE number 3860078

Cites work

• scientific article; zbMATH DE number 837326 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3225653 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• On a central limit theorem for shrunken weakly dependent random variables

Cited in

(6)

• A non-tangential limit theorem
• A limit theorem with application to Båth's law in seismology
• scientific article; zbMATH DE number 90424 (Why is no real title available?)
• Scaling limits for a random boxes model
• Scaling Limits for Cumulative Input Processes
• Note on the innovation variable of hyperbolic characteristic functions

This page was built for publication: On a limit theorem for a non-linear scaling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2244576)