Point Process and Partial Sum Convergence for Weakly Dependent Random Variables with Infinite Variance
Davis, Richard A. ; Hsing, Tailen
Ann. Probab., Tome 23 (1995) no. 3, p. 879-917 / Harvested from Project Euclid
Let $\{\xi_j\}$ be a strictly stationary sequence of random variables with regularly varying tail probabilities. We consider, via point process methods, weak convergence of the partial sums, $S_n = \xi_1 + \cdots + \xi_n$, suitably normalized, when $\{\xi_j\}$ satisfies a mild mixing condition. We first give a characterization of the limit point processes for the sequence of point processes $N_n$ with mass at the points $\{\xi_j/a_n, j = 1,\ldots,n\}$, where $a_n$ is the $1 - n^{-1}$ quantile of the distribution of $|\xi_1|$. Then for $0 < \alpha < 1 (-\alpha$ is the exponent of regular variation), $S_n$ is asymptotically stable if $N_n$ converges weakly, and for $1 \leq \alpha < 2$, the same is true under a condition that is slightly stronger than the weak convergence of $N_n$. We also consider large deviation results for $S_n$. In particular, we show that for any sequence of constants $\{t_n\}$ satisfying $nP\lbrack\xi_1 > t_n\rbrack \rightarrow 0, P\lbrack S_n > t_n\rbrack/(nP\lbrack\xi_1 > t_n\rbrack)$ tends to a constant which can in general be different from 1. Applications of our main results to self-norming sums, $m$-dependent sequences and linear processes are also given.
Publié le : 1995-04-14
Classification:  Point processes,  regular variation,  mixing,  weak convergence,  stable laws,  60F05,  60G10,  60G55
@article{1176988294,
     author = {Davis, Richard A. and Hsing, Tailen},
     title = {Point Process and Partial Sum Convergence for Weakly Dependent Random Variables with Infinite Variance},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 879-917},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988294}
}
Davis, Richard A.; Hsing, Tailen. Point Process and Partial Sum Convergence for Weakly Dependent Random Variables with Infinite Variance. Ann. Probab., Tome 23 (1995) no. 3, pp.  879-917. http://gdmltest.u-ga.fr/item/1176988294/