Suppose \(R(t)\) and \(R_n(t)\), \(n\geq 1\), are random processes in \(D(0,1)\) such that \(R_n(t)\) converges weakly to \(R(t)\) in \(D(0,1)\). For \(z\in(-\infty,\infty)\) define \(\Lambda_n(z)= \int^1_0\mathbf{1}\{R_n(t)\leq z\}\,dt\) and similarly \(\Lambda(z)\) for the process \(R(t)\). Under some additional conditions on path properties of the limit proces \(R(t)\) it is proved that \(\Lambda_n(z)\) converges weakly to \(\Lambda(z)\) in \(D[-\infty,\infty]\). This general theorem contains the following important example. Let \(X_1, X_2,\dots\) are i.i.d. random variables with mean 0 and the unit variance. Then \[ {1\over n}\sum^n_{k=1}\mathbf{1}\{(X_1,+\cdots+ X_k)/\sqrt{k}\leq z\} \] converges weakly in \(D[-\infty,\infty]\) to \(\int^1_0 \mathbf{1}\{W(t)/\sqrt{t}\leq z\}\,dt\), where \(W(t)\) is a standard Brownian motion. Taking \(z= 0\) one obtains the classical Lévy's first arc-sine law. The general theorem is used to derive several convergence results for normalized partial sums of dependent random variables both for Gaussian and normalized Lévy limit processes \(R(t)\) as well as for extreme-value statistics of i.i.d. random variables.
- A Combinatorial Lemma and Its Application to Probability Theory
- A note on the almost sure central limit theorem
- A universal result in almost sure central limit theory.
- An almost everywhere central limit theorem
- Changes of sign of sums of random variables
- Extremal Processes
- scientific article; zbMATH DE number 3124312 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 818203 (Why is no real title available?)
- scientific article; zbMATH DE number 3244325 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3092909 (Why is no real title available?)
- Martingale Central Limit Theorems
- On Strong Versions of the Central Limit Theorem
- Spitzer's condition and ladder variables in random walks
- Weak convergence to extremal processes
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Donsker's theorem for self-normalized partial sums processes
- Sample path behaviour in connection with generalized arcsine laws
- Arcsine law and one generalization
- On Doney's striking factorization of the arc-sine law
- scientific article; zbMATH DE number 3878108 (Why is no real title available?)
- On the Maxima of Random Walks and Stable Processes and the Arc-Sine Law
- scientific article; zbMATH DE number 3951672 (Why is no real title available?)
- On the arc-sine laws for Lévy processes
- scientific article; zbMATH DE number 1139938 (Why is no real title available?)
- A THIRD ARC-SINE THEOREM
- scientific article; zbMATH DE number 936376 (Why is no real title available?)
- Convergence Rates to the Arcsine Law
This page was built for publication: On functional versions of the arc-sine law
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q966497)
