Convergence to stable laws in Mallows distance for mixing sequences of random variables
Barbosa, Euro G. ; Dorea, Chang C. Y.
Braz. J. Probab. Stat., Tome 24 (2010) no. 1, p. 128-136 / Harvested from Project Euclid
Convergence in Mallows distance is of particular interest when heavy-tailed distributions are considered. For 1≤α<2, it constitutes an alternative technique to derive Central Limit type theorems for non-Gaussian α-stable laws. In this note, for properly stabilized martingale sums and sequences of ϕ-mixing random variables, we establish Mallows convergence to stable laws. Sufficient conditions are presented in the setting of familiar Lindeberg-like conditions and extend earlier results for the independent case.
Publié le : 2010-07-15
Classification:  Mallows distance,  stable laws,  mixing sequences
@article{1271770267,
     author = {Barbosa, Euro G. and Dorea, Chang C. Y.},
     title = {Convergence to stable laws in Mallows distance for mixing sequences of random variables},
     journal = {Braz. J. Probab. Stat.},
     volume = {24},
     number = {1},
     year = {2010},
     pages = { 128-136},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1271770267}
}
Barbosa, Euro G.; Dorea, Chang C. Y. Convergence to stable laws in Mallows distance for mixing sequences of random variables. Braz. J. Probab. Stat., Tome 24 (2010) no. 1, pp.  128-136. http://gdmltest.u-ga.fr/item/1271770267/