A Normal Limit Theorem for Moment Sequences
Chang, Fu-Chen ; Kemperman, J. H. B. ; Studden, W. J.
Ann. Probab., Tome 21 (1993) no. 4, p. 1295-1309 / Harvested from Project Euclid
Let $\Lambda$ be the set of probability measures $\lambda$ on $\lbrack 0,1\rbrack$. Let $M_n = \{(c_1,\ldots,c_n)\mid\lambda \in \Lambda\}$, where $c_k = c_k(\lambda) = \int^1_0x^k d\lambda, k = 1,2,\ldots$ are the ordinary moments, and assign to the moment space $M_n$ the uniform probability measure $P_n$. We show that, as $n \rightarrow \infty$, the fixed section $(c_1,\ldots,c_k)$, properly normalized, is asymptotically normally distributed. That is, $\sqrt n\lbrack(c_1,\ldots,c_k) - (c^0_1,\ldots,c^0_k)\rbrack$ converges to $\mathrm{MVN}(0,\Sigma)$, where $c^0_i$ correspond to the arc sine law $\lambda_0$ on $\lbrack 0,1\rbrack$. Properties of the $k \times k$ matrix $\Sigma$ are given as well as some further discussion.
Publié le : 1993-07-14
Classification:  Moment spaces,  canonical moments,  normal limit,  random walk,  60F05,  30E05,  60D05,  60J15,  33C45
@article{1176989119,
     author = {Chang, Fu-Chen and Kemperman, J. H. B. and Studden, W. J.},
     title = {A Normal Limit Theorem for Moment Sequences},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 1295-1309},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989119}
}
Chang, Fu-Chen; Kemperman, J. H. B.; Studden, W. J. A Normal Limit Theorem for Moment Sequences. Ann. Probab., Tome 21 (1993) no. 4, pp.  1295-1309. http://gdmltest.u-ga.fr/item/1176989119/