Selection from a stable box
Aue, Alexander ; Berkes, István ; Horváth, Lajos
Bernoulli, Tome 14 (2008) no. 1, p. 125-139 / Harvested from Project Euclid
Let {Xj} be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly to a Brownian bridge if second moments exist. Surprisingly, an infinite-variance counterpart does not hold true. In the present paper, we let {Xj} be in the domain of attraction of a strictly α-stable law, α∈(0, 2). While the functional CUSUM statistics itself converges to an α-stable bridge and so does the permuted version, provided both the {Xj} and the permutation are random, the situation turns out to be more delicate if a realization of the {Xj} is fixed and randomness is restricted to the permutation. Here, the conditional distribution function of the permuted CUSUM statistics converges in probability to a random and nondegenerate limit.
Publié le : 2008-02-15
Classification:  CUSUM,  functional limit theorems,  order statistics,  permutation principle,  stable distributions
@article{1202492787,
     author = {Aue, Alexander and Berkes, Istv\'an and Horv\'ath, Lajos},
     title = {Selection from a stable box},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 125-139},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1202492787}
}
Aue, Alexander; Berkes, István; Horváth, Lajos. Selection from a stable box. Bernoulli, Tome 14 (2008) no. 1, pp.  125-139. http://gdmltest.u-ga.fr/item/1202492787/