The limit theorem for maximum of partial sums of exchangeable random variables

DOI10.1016/J.SPL.2016.09.010MaRDI QIDQ334084zbMATHOpenAlexFDO

Authors Alexander Rakitko, Patricia Alonso Ruiz

Publication date 31 October 2016

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

Full work available at URL https://arxiv.org/abs/1506.09183

zbMATH Keywords

maximumde Finetti's theoremlimit theoremexchangeable random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Exchangeability for stochastic processes (60G09)

Abstract: We obtain the analogue of the classical result by Erd"os and Kac on the limiting distribution of the maximum of partial sums for exchangeable random variables with zero mean and variance one. We show that, if the conditions of the central limit theorem of Blum et al. hold, the limit coincides with the classical one. Under more general assumptions, the probability of the random variables having conditional negative drift appears in the limiting distribution.

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