Darling--Erdős theorem for self-normalized sums
Csörgő, Miklós ; Szyszkowicz, Barbara ; Wang, Qiying
Ann. Probab., Tome 31 (2003) no. 1, p. 676-692 / Harvested from Project Euclid
Let $X,\, X_1,\, X_2,\ldots$ be i.i.d. nondegenerate random variables, $S_n=\sum_{j=1}^nX_j$ and $V_n^2=\sum_{j=1}^nX_j^2$. We investigate the asymptotic \vspace*{1pt} behavior in distribution of the maximum of self-normalized sums, $\max_{1\le k\le n}S_k/V_k$, and the law of the iterated logarithm for self-normalized sums, $S_n/V_n$, when $X$ belongs to the domain of attraction of the normal law. In this context, we establish a Darling--Erdős-type theorem as well as an Erdős--Feller--Kolmogorov--Petrovski-type test for self-normalized sums.
Publié le : 2003-04-14
Classification:  Darling--Erdős theorem,  Erdős--Feller--Kolmogorov--Petrovski test,  self-normalized sums,  60F05,  60F15,  62E20
@article{1048516532,
     author = {Cs\"org\H o, Mikl\'os and Szyszkowicz, Barbara and Wang, Qiying},
     title = {Darling--Erd\H os theorem for self-normalized sums},
     journal = {Ann. Probab.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 676-692},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1048516532}
}
Csörgő, Miklós; Szyszkowicz, Barbara; Wang, Qiying. Darling--Erdős theorem for self-normalized sums. Ann. Probab., Tome 31 (2003) no. 1, pp.  676-692. http://gdmltest.u-ga.fr/item/1048516532/