Limit Points of $\{n^{-1/\alpha}S_n\}$
Mijnheer, Joop
Ann. Probab., Tome 10 (1982) no. 4, p. 382-395 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$ be a sequence of independent identically distributed (i.i.d.) positive random variables in the domain of attraction of a completely asymmetric stable law with characteristic exponent $\alpha \in (0, 1)$, i.e. their common distribution function $G$ is given by $P(X_1 > x) = 1 - G(x) = x^{-\alpha}L(x),$ where $L$ is a slowly varying function at infinity. In this paper we study the set of limit points of $\{n^{-1/\alpha}(X_1 + \cdots + X_n): n = 1,2, \cdots\}$. The sets of limit points that are possible are $\{0\}, \{\infty\}, \lbrack 0, \infty\rbrack$ and $\lbrack b, \infty\rbrack$ for some positive number $b$. In Section 2 we consider the case where $L$ is non-decreasing and in Section 3 the case where $L$ is non-increasing. In both sections we give the conditions in terms of $L$ for each of the limit sets.
Publié le : 1982-05-14
Classification:  Normed sums of independent random variables,  limit points,  stable process,  60G50,  60F15,  60J30
@article{1176993864,
     author = {Mijnheer, Joop},
     title = {Limit Points of $\{n^{-1/\alpha}S\_n\}$},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 382-395},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993864}
}
Mijnheer, Joop. Limit Points of $\{n^{-1/\alpha}S_n\}$. Ann. Probab., Tome 10 (1982) no. 4, pp.  382-395. http://gdmltest.u-ga.fr/item/1176993864/