Asymptotic Behavior of Self-Normalized Trimmed Sums: Nonnormal Limits
Hahn, Marjorie G. ; Weiner, Daniel C.
Ann. Probab., Tome 20 (1992) no. 4, p. 455-482 / Harvested from Project Euclid
Let $\{X_j\}$ be independent, identically distributed random variables with continuous nondegenerate distribution $F$ which is symmetric about the origin. Let $\{X_n(1), X_n(2),\ldots, X_n(n)\}$ denote the arrangement of $\{X_1,\ldots, X_n\}$ in decreasing order of magnitude, so that with probability 1, $|X_n(1)| > |X_n(2)| > \cdots > |X_n(n)|$. For integers $r_n \rightarrow \infty$ such that $r_n/n \rightarrow 0$, define the self-normalized trimmed sum $T_n = \sum^n_{i=r_n}X_n(i)/\{\sum^n_{i=r_n}X^2_n(i)\}^{1/2}$. The asymptotic behavior of $T_n$ is studied. Under a probabilistically meaningful analytic condition generalizing the asymptotic normality criterion for $T_n$, various interesting nonnormal limit laws for $T_n$ are obtained and represented by means of infinite random series. In general, moreover, criteria for degenerate limits and stochastic compactness for $\{T_n\}$ are also obtained. Finally, more general results and technical difficulties are discussed.
Publié le : 1992-01-14
Classification:  Trimmed sums,  self-normalization and studentization,  magnitude order statistics,  stochastic compactness,  weak convergence,  series representations,  symmetry,  nonnormal limits,  infinitely divisible laws,  60F05,  62G05,  62G30
@article{1176989937,
     author = {Hahn, Marjorie G. and Weiner, Daniel C.},
     title = {Asymptotic Behavior of Self-Normalized Trimmed Sums: Nonnormal Limits},
     journal = {Ann. Probab.},
     volume = {20},
     number = {4},
     year = {1992},
     pages = { 455-482},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989937}
}
Hahn, Marjorie G.; Weiner, Daniel C. Asymptotic Behavior of Self-Normalized Trimmed Sums: Nonnormal Limits. Ann. Probab., Tome 20 (1992) no. 4, pp.  455-482. http://gdmltest.u-ga.fr/item/1176989937/