A Characterization of Certain Sequences of Noming Constants
Kimbleton, Stephen R.
Ann. Math. Statist., Tome 39 (1968) no. 6, p. 394-397 / Harvested from Project Euclid
Let $\{Y_j\}^\infty_{j = 1}$ be a sequence of random variables defined on a probability space $(\Omega, F, P)$, which are not necessarily independent, or identically distributed. Let $S_n = Y_1 + \cdots + Y_n$. Assume that there exists sequences of constants $\{A_n\}, \{B_n\}, B_n > 0$ such that the limit distribution of $(S_n - A_n)/B_n$ exists. For a class of limit distributions which includes the stable distributions, we give a characterization of $\{B_n\}$ in terms of the dispersion of the sequence of partial sums $S_n$. Such a characterization will be useful in obtaining stable limit theorems for Markov chains since it allows a description of the norming constants which is not dependent on any particular state of the state space of the Markov chain. In addition, using this characterization and that of Tucker in [6], we obtain a partial strengthening of Paul Levy's Theorem on the Augmentation of the Dispersion.
Publié le : 1968-04-14
Classification: 
@article{1177698403,
     author = {Kimbleton, Stephen R.},
     title = {A Characterization of Certain Sequences of Noming Constants},
     journal = {Ann. Math. Statist.},
     volume = {39},
     number = {6},
     year = {1968},
     pages = { 394-397},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177698403}
}
Kimbleton, Stephen R. A Characterization of Certain Sequences of Noming Constants. Ann. Math. Statist., Tome 39 (1968) no. 6, pp.  394-397. http://gdmltest.u-ga.fr/item/1177698403/