The asymptotic distribution of randomly weighted sums and self-normalized sums

Abstract: We consider the self-normalized sums

T_{n} = s u m_{i = 1}^{n} X_{i} Y_{i} / s u m_{i = 1}^{n} Y_{i}

, where

Y_{i} : i g e q 1

are non-negative i.i.d. random variables, and

X_{i} : i g e q 1

are i.i.d. random variables, independent of

Y_{i} : i g e q 1

. The main result of the paper is that each subsequential limit law of T_n

i s c o n t i n u o u s f o r a n y n o n - d e g e n e r a t e

X_1

w i t h f i n i t e e x p e c t a t i o n, i f a n d o n l y i f

Y_1$ is in the centered Feller class.

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