The Asymptotic Distribution of Trimmed Sums
Csorgo, Sandor ; Haeusler, Erich ; Mason, David M.
Ann. Probab., Tome 16 (1988) no. 4, p. 672-699 / Harvested from Project Euclid
Let $X_{1,n} \leq \cdots \leq X_{n,n}$ be the order statistics of $n$ independent and identically distributed random variables and let $m_n$ and $k_n$ be positive integers such that $m_n \rightarrow \infty, k_n \rightarrow \infty, m_n/n \rightarrow 0$ and $k_n/n \rightarrow 0$ as $n \rightarrow \infty$. We find a necessary and sufficient condition for the existence of normalizing and centering constants $A_n > 0$ and $B_n$ such that the sequence $T_n = A^{-1}_n \big\{\sum_{i=m_n+1}^{n-k_n} X_{i,n} - B_n\big\}$ is stochastically compact and completely describe the possible subsequential limiting distributions. We also give a necessary and sufficient condition for the existence of $A_n$ and $B_n$ such that $T_n$ is asymptotically normal. A variant of Stigler's theorem when $m_n/n \rightarrow \alpha$ and $k_n/n \rightarrow 1 - \beta$, where $0 < \alpha < \beta < 1$, is also obtained as a by-product.
Publié le : 1988-04-14
Classification:  Trimmed sums,  stochastic compactness,  asymptotic normality,  60F05
@article{1176991780,
     author = {Csorgo, Sandor and Haeusler, Erich and Mason, David M.},
     title = {The Asymptotic Distribution of Trimmed Sums},
     journal = {Ann. Probab.},
     volume = {16},
     number = {4},
     year = {1988},
     pages = { 672-699},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991780}
}
Csorgo, Sandor; Haeusler, Erich; Mason, David M. The Asymptotic Distribution of Trimmed Sums. Ann. Probab., Tome 16 (1988) no. 4, pp.  672-699. http://gdmltest.u-ga.fr/item/1176991780/