Selection from a stable box

DOI10.3150/07-BEJ6014MaRDI QIDQ1002578zbMATH OpenOpenAlexFDO

Authors Alexander Aue, István Berkes, Lajos Horváth

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.0868

zbMATH Keywords

CUSUMstable distributionsorder statisticsfunctional limit theoremspermutation principle

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Abstract: Let $X_j$ be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly to a Brownian bridge if second moments exist. Surprisingly, an infinite-variance counterpart does not hold true. In the present paper, we let $X_j$ be in the domain of attraction of a strictly $alpha$-stable law, $alphain(0,2)$. While the functional CUSUM statistics itself converges to an $alpha$-stable bridge and so does the permuted version, provided both the $X_j$ and the permutation are random, the situation turns out to be more delicate if a realization of the $X_j$ is fixed and randomness is restricted to the permutation. Here, the conditional distribution function of the permuted CUSUM statistics converges in probability to a random and nondegenerate limit.

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Cited in

(8)

• Trimmed stable AR(1) processes
• Asymptotics of trimmed CUSUM statistics
• On weak invariance principles for partial sums
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Asymptotic behavior of trimmed sums
• A quasi-Bayesian change point detection with exchangeable weights
• Non-central limit theorems for random selections

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