Joint Limit Laws of Sample Moments of a Symmetric Distribution
Tucker, Howard G.
Ann. Probab., Tome 8 (1980) no. 6, p. 991-998 / Harvested from Project Euclid
Let $\{X_n\}$ be a sequence of i.i.d. random variables with a common symmetric distribution $F$. Let $\mathfrak{L}(Z)$ denote the distribution of a random variable $Z$, and let $\mathfrak{D}(\alpha)$ denote the domain of attraction of a stable law of characteristic exponent $\alpha$. It is assumed that $\mathfrak{L}(X^k_1) \in \mathfrak{D}(\alpha)$ for some integer $k \geqslant 2$ and $\alpha \in (0, 2].$ Let $\mathbf{S}_n$ denote the $k$-dimensional random vector whose $j$th coordinate is $\Sigma^n_{i=1} X^j_i$, and let $m = \max\{j: k\alpha/j \geqslant 2\}$. Then there exist a sequence of $k \times k$ matrices $\{A_n\}$ and a sequence of vectors $\{\mathbf{b}_n\}$ in $\mathbb{R}^k$ such that $\mathbf{A}_n\mathbf{S}_n + \mathbf{b}_n$ converges in law to a random vector $\mathbf{S}$. The first $m$ coordinates of $\mathbf{S}$ are jointly normal and are independent of the remaining $k - m$ coordinates. No pair of these remaining $k - m$ coordinates are independent, but their joint distribution is operator-stable with two orbits.
Publié le : 1980-10-14
Classification:  Sample moments,  domain of attraction of a stable distribution,  multivariate stable distribution,  operator-stable distribution,  60F05
@article{1176994627,
     author = {Tucker, Howard G.},
     title = {Joint Limit Laws of Sample Moments of a Symmetric Distribution},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 991-998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994627}
}
Tucker, Howard G. Joint Limit Laws of Sample Moments of a Symmetric Distribution. Ann. Probab., Tome 8 (1980) no. 6, pp.  991-998. http://gdmltest.u-ga.fr/item/1176994627/