A Note on the Convergence of Sums of Independent Random Variables
Hildebrand, Adolf
Ann. Probab., Tome 20 (1992) no. 4, p. 1204-1212 / Harvested from Project Euclid
Let $X_n, n \geq 1$, be a sequence of independent random variables, and let $F_N$ be the distribution function of the partial sums $\sum^N_{n = 1}X_n$. Motivated by a conjecture of Erdos in probabilistic number theory, we investigate conditions under which the convergence of $F_N(x)$ at two points $x = x_1,x_2$ with different limit values already implies the weak convergence of the distributions $F_N$. We show that this is the case if $\sum^\infty_{n = 1}\rho(X_n,c_n) = \infty$ whenever $\sum^\infty_{n = 1}c_n$ diverges, where $\rho(X,c)$ denotes the Levy distance between $X$ and the constant random variable $c$. In particular, this condition is satisfied if $\lim\inf_{n \rightarrow\infty}P(X_n = 0) > 0$.
Publié le : 1992-07-14
Classification:  Probabilistic number theory,  additive arithmetic function,  limit distribution,  sums of independent random variables,  three series theorem,  60F05,  11K65
@article{1176989687,
     author = {Hildebrand, Adolf},
     title = {A Note on the Convergence of Sums of Independent Random Variables},
     journal = {Ann. Probab.},
     volume = {20},
     number = {4},
     year = {1992},
     pages = { 1204-1212},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989687}
}
Hildebrand, Adolf. A Note on the Convergence of Sums of Independent Random Variables. Ann. Probab., Tome 20 (1992) no. 4, pp.  1204-1212. http://gdmltest.u-ga.fr/item/1176989687/