The asymptotic joint distribution of self-normalized censored sums and sums of squares

DOI10.1214/AOP/1176990747MaRDI QIDQ2277698zbMATH OpenOpenAlexFDO

Authors Marjorie G. Hahn, Jim Kuelbs, Daniel Charles Weiner

Publication date 1990

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176990747

zbMATH Keywords

asymptotic normalitycensoringcentering constantsdomains of attractionempirically censored meanFeller classinfinite variancelimit lawsscale constantsscale estimatorself-normalized sumsstochastic compactnessstudentizationtightnessTightness criteriawinsorizing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Review text

Let \(X,X_ 1,X_ 2,..\). be i.i.d. random variables with infinite variance, and let \(\{r_ n\}\) be a real sequence satisfying \(0<r_ n\to \infty\) and \(r_ n/n\to 0\). The authors investigate empirical versions \(a_ n\) and \(\gamma_ n\) of scaling and centering constants defined by \[ \sum^{n}_{j=1}\{(X^ 2_ j/a^ 2_ n)\wedge 1\}=r_ n\text{ and } \gamma_ n=n^{-1}\sum^{n}_{j=1}(| X_ j| \wedge a_ n)sgn(X_ j), \] which are called scale estimator and empirically censored mean, respectively. Tightness criteria and subsequential limit laws for the normalized pairs \((a_ n,\gamma_ n)\) are obtained. Criteria for convergence to each of the allowable limit laws are given. Applications to the Feller class and domains of attraction are also considered.

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