English

On the functional limits for partial sums under stable law

Probability 2015-05-21 v2

Abstract

For the partial sums (Sn)(S_n) of independent random variables we define a stochastic process sn(t):=(1/dn)k[nt](Sk/kμ)s_n(t):=(1/d_n)\sum_{k \le [nt]} ({S_k}/{k}-\mu) and prove that (1/logN)nN(1/n)I{sn(t)x}Gt(x)a.s.(1/{\log N})\sum_{n\le N}(1/n)\mathbf {I}\left\{s_n(t)\le x\right\} \to G_t(x)\quad \text{a.s.} if and only if (1/logN)nN(1/n)P(sn(t)x)Gt(x)(1/{\log N})\sum_{n\le N} (1/n)\mathbb{P}\left(s_n(t)\le x\right) \to G_t(x), for some sequence (dn)(d_n) and distribution GtG_t. We also prove an almost sure functional limit theorem for the product of partial sums of i.i.d. positive random variables attracted to an α\alpha-stable law with α(1,2]\alpha\in (1,2].

Keywords

Cite

@article{arxiv.1006.1073,
  title  = {On the functional limits for partial sums under stable law},
  author = {Khurelbaatar Gonchigdanzan and Kamil Marcin Kosiński},
  journal= {arXiv preprint arXiv:1006.1073},
  year   = {2015}
}
R2 v1 2026-06-21T15:32:26.879Z