Limit laws for power sums and norms of i.i.d. samples

DOI10.1007/S00440-008-0198-YMaRDI QIDQ846746zbMATH OpenOpenAlexFDO

Authors Anja Janssen

Publication date 9 February 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 2.0 Generic

Full work available at URL https://doi.org/10.1007/s00440-008-0198-y

zbMATH Keywords

\(l_p\) normscentral limit theoremextreme value theoryinfinitely divisible lawsLevy measurespower sumsstable lawsvon Mises representation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70)

Review text

For i.i.d. positive valued random variables \(X_1, \dots, X_n,\) the author studies the limit behaviour of \(l_{p(n)}\)-norms of samples \[ \| X_{1n}\|_{p(n)} = \left( \sum_{i=1}^{n} X_i^{p(n)} \right)^{1 / p(n)},\quad p(n) > 0, \] where \(p(n)\) grows with \(n\), and the related behaviour of power sums of the form \((\| X_{1n}\|_{p(n)})^{p(n)} = \sum_{i=1}^{n}X_i^{p(n)}\). It is shown that nontrivial limit laws arise if \(p(n)\) is chosen in accordance with the tail behaviour of \(X_1\). The limit behaviour of power sums and norms of samples is shown to be governed by max domains of attraction of extreme value theory by establishing a link between extreme value theory and the Lévy measures of certain infinitely divisible laws, which are limit distributions of power sums. Using the von Mises representation for the Gumbel max domain of attraction, the results are extended to the limit results for power sums found in [\textit{G. Ben Arous, L. V. Bogachev} and \textit{S. A. Molchanov}, Probab. Theory Relat. Fields 132, No.~4, 579--612 (2005; Zbl 1073.60017)] and [\textit{L. Bogachev}, J. Theor. Probab. 19, No.~4, 849--873 (2006; Zbl 1128.60016)]. The approach also simplifies some of the proofs in [\textit{M. Schlather}, Ann. Probab. 29, No.~2, 862--881 (2001; Zbl 1014.60015)].

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Cites work

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Cited in

(11)

• Limit distributions of norms of vectors of positive i. i. d. random variables
• Limit laws for the norms of extremal samples
• Stable limit laws for the parabolic Anderson model between quenched and annealed behaviour
• Power limits for central order statistics. I. Continuous limit laws
• Complex random energy model: zeros and fluctuations
• Nonstandard limit theorem for infinite variance functionals
• Limit Theorems for Random Exponentials: The Bounded Support Case
• Consistency of \(p\)-norm based tests in high dimensions: characterization, monotonicity, domination
• Functional limit theorems for sums of independent geometric Lévy processes
• Which distributions in the max-domain of attraction satisfy von Mises representation or variation representation for a given auxiliary function?
• Limit laws for norms of IID samples with Weibull tails

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