Asymptotic results for empirical measures of weighted sums of independent random variables
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Publication:2461024
DOI10.1214/ECP.V12-1273zbMATH Open1130.60035arXivmath/0607687MaRDI QIDQ2461024FDOQ2461024
Publication date: 19 November 2007
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: We prove that if a rectangular matrix with uniformly small entries and approximately orthogonal rows is applied to the independent standardized random variables with uniformly bounded third moments, then the empirical CDF of the resulting partial sums converges to the normal CDF with probability one. This implies almost sure convergence of empirical periodograms, almost sure convergence of spectra of circulant and reverse circulant matrices, and almost sure convergence of the CDF's generated from independent random variables by independent random orthogonal matrices. For special trigonometric matrices, the speed of the almost sure convergence is described by the normal approximation and by the large deviation principle.
Full work available at URL: https://arxiv.org/abs/math/0607687
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- Erratum to: ``Asymptotic results for empirical measures of weighted sums of independent random variables
- Asymptotics for Weighted Random Sums
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