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arxiv: 1204.2074 · v2 · pith:7OV5SJGEnew · submitted 2012-04-10 · 🧮 math.PR

Weak convergence of self-normalized partial sums processes

classification 🧮 math.PR
keywords convergencepartialprocessesrandomself-normalizedsumsvariablesweak
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Let $\{X, X_n, n\geq 1\}$ be a sequence of independent identically distributed non-degenerate random variables. Put $S_0=0, S_n = \sum^n_{i=1} X_i$ and $V_n^2=\sum^n_{i=1} X_i^2, n\ge 1.$ A weak convergence theorem is established for the self-normalized partial sums processes $\{S_{[nt]}/V_n, 0\le t\le 1\}$ when $X$ belongs to the domain of attraction of a stable law with index $\alpha \in (0,2]$. The respective limiting distributions of the random variables ${\max_{1\le i\le n}|X_i|}/{S_n}$ and ${\max_{1\le i\le n}|X_i|}/{V_n}$ are also obtained under the same condition.

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