Convergence to Zero of Quadratic Forms in Independent Random Variables
Griffiths, Gary N. ; Platt, Ronald D. ; Wright, F. T.
Ann. Probab., Tome 1 (1973) no. 5, p. 838-848 / Harvested from Project Euclid
Let $\{X_n\}$ be a sequence of independent random variables none of which are degenerate and define for $y \geqq 0, F(y) = \sup_k P\lbrack |X_k| \geqq y \rbrack$ and $G(y) = \sup_{j \neq k} P\lbrack |X_j X_k| \geqq y \rbrack$. Relationships between the rate of convergence of $F$ and $G$ to zero are investigated. Set $Q_N = \sum_{j, k}a_{jk,N} X_jX_k$ for $N = 1, 2, \cdots$. If the $X$'s are symmetric then it is shown that $Q_N$ converges to zero in probability for a large class of weights $\{a_{jk,N}\}$ if and only if $\lim_{y\rightarrow\infty} yG(y) = 0$. Convergence results are also given for the case when the random variables are not symmetric.
Publié le : 1973-10-14
Classification:  Tail probabilities,  products of independent random variables,  quadratic forms,  weak convergence,  almost sure convergence,  60F05,  60F15
@article{1176996849,
     author = {Griffiths, Gary N. and Platt, Ronald D. and Wright, F. T.},
     title = {Convergence to Zero of Quadratic Forms in Independent Random Variables},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 838-848},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996849}
}
Griffiths, Gary N.; Platt, Ronald D.; Wright, F. T. Convergence to Zero of Quadratic Forms in Independent Random Variables. Ann. Probab., Tome 1 (1973) no. 5, pp.  838-848. http://gdmltest.u-ga.fr/item/1176996849/