On Limiting Distributions of a Random Number of Dependent Random Variables
Thomas, D. L.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1719-1726 / Harvested from Project Euclid
Let $\{X_n, n \geqq 1\}$ be a sequence of random variables such that for suitably chosen constants $a_n > 0$ and $b_n, n \geqq 1, \{(X_n - b_n)/a_n\}$ converges in distribution to a nondegenerate random variable $X$. Let $\{N_m, m \geqq 1\}$ be a sequence of positive, integer-valued random variables distributed independently of the sequence $\{X_n\}$ and converging to infinity in probability as $m\rightarrow \infty$. If $\{a_n\}$ and $\{b_n\}$ are the normalizing constants computed from a $\operatorname{cdf} F$ which is in the domain of attraction of one of the extreme value distributions and if the $\operatorname{cdf}$ of $X$ satisfies a condition determined by the domain of attraction to which $F$ belongs, then conditions on the limiting distribution of $\{N_m/m\}$ are obtained which are necessary and sufficient for the convergence in distribution of the sequence $\{(X_{N_m} - b_m)/a_m\}$ to a nondegenerate random variable $Y$. The $\operatorname{cdf}$ of $Y$ is either a location or a scale mixture of the $\operatorname{cdf}$ of $X$; and the $\operatorname{cdf} F$ is often unrelated to the distribution of $\{X_n\}$. These results extend a theorem stated by Berman; however, the method of proof is conceptually simpler.
Publié le : 1972-10-14
Classification: 
@article{1177692409,
     author = {Thomas, D. L.},
     title = {On Limiting Distributions of a Random Number of Dependent Random Variables},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1719-1726},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692409}
}
Thomas, D. L. On Limiting Distributions of a Random Number of Dependent Random Variables. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1719-1726. http://gdmltest.u-ga.fr/item/1177692409/