Weak convergence of random sums and maximum random sums under nonrandom norming
Necessary and sufficient conditions are obtained for the weak convergence of random sums and maximum random sums of i.i.d. random variables. Limit distributions for these sums are described. Let \(v\), \(N_n\), \(X_n\), \(n=1,2,\dots\), be random variables defined on a probability space \((\Omega,{\mathcal A},P)\), where \(v\) is positive with probability one, each \(N_n\) takes natural values, and \(X_n\), \(n=1,2,\dots\), are i.i.d. with \(EX_k=a\neq 0\) and \(\text{Var }X_k= \sigma^2\), \(0<\sigma^2<\infty\). Denote \(S_k= X_1+\cdots+X_k\) and let \[ Z_n={S_{N_n}-avn\over\sqrt{\sigma^2n}},\quad \overline Z_n={\max_{1\leq k\leq N_n} S_k-avn\over\sqrt{\sigma^2n}}. \] The random variables \(Z_n\) and \(\overline Z_n\) are called a random sum and a maximum random sum of random variables under nonrandom norming, respectively. The results are the following: Theorem 1. In order that \(P(Z_n<x)@>d>>F(x)\) for some distribution function \(F\) it is necessary and sufficient that \[ P\Biggl({S_{[vn]}- avn\over\sqrt{\sigma^2n}}+ {a(N_n- vn)\over\sqrt{\sigma^2n}}< x\Biggr)@>d>> F(x).\tag{1} \] Theorem 2. Assume that \(EX_k=a>0\). In order that \(P(\overline Z_n<x)@>d>>F(x)\) for some distribution function \(F\) it is necessary and sufficient that (1) holds.
- scientific article; zbMATH DE number 2152209
- Publication:3486570
- Weak $L^{1}$ norms of random sums
- Weak convergence of distributions of random sums
- Weak Convergence of Random Sums
- scientific article; zbMATH DE number 3421666
- Weak convergence of maximal random sets
- Inequalities of maximum of partial sums and weak convergence for a class of weak dependent random variables
- On weak and Moments Convergence of Randomly Indexed Sums
- A Necessary and Sufficient Condition for Convergence in Law of Random Sums of Random Variables Under Nonrandom Centering
- A remark on stable sequences of random variables and a limit distribution theorem for a random sum of independent random variables
- Convergence in law of random sums with non-random centering
- scientific article; zbMATH DE number 3125504 (Why is no real title available?)
- scientific article; zbMATH DE number 796414 (Why is no real title available?)
- scientific article; zbMATH DE number 3236476 (Why is no real title available?)
- Limit distribution of the maximum and minimum of successive cumulative sums of random variables
- On mixing sequences of sets
- On the central limit theorem for the sum of a random number of independent random variables
- A note on a limit theorem for differentiable mappings
- One technique of nonlinear normalization of random variables
- Limit theorems for transformations of sums of iid random variables
- scientific article; zbMATH DE number 4133219 (Why is no real title available?)
- The weak law of large numbers and the accompanying distribution function of random sums
- scientific article; zbMATH DE number 4209200 (Why is no real title available?)
- scientific article; zbMATH DE number 4213121 (Why is no real title available?)
- scientific article; zbMATH DE number 4137092 (Why is no real title available?)
- scientific article; zbMATH DE number 4159753 (Why is no real title available?)
- Narrow Zones of Normal Convergence for Sums of Non-Identically Distributed Random Variables
- scientific article; zbMATH DE number 3915310 (Why is no real title available?)
- On approximation conditions of the distribution of the maximum sums of independent random variables
- scientific article; zbMATH DE number 1301674 (Why is no real title available?)
- An ergodic theorem for an individual random sequence
- scientific article; zbMATH DE number 2152209 (Why is no real title available?)
- scientific article; zbMATH DE number 2213821 (Why is no real title available?)
This page was built for publication: Weak convergence of random sums and maximum random sums under nonrandom norming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1354965)
