On the asymptotic independence of the sum and rare values of weakly dependent stationary random variables

Tailen Hsing

Stochastic Processes and their Applications, 1995, vol. 60, issue 1, 49-63

Abstract: It is shown that if the stationary sequence {Xi} has finite variance and satisfies a certain mixing condition, then the asymptotic distribution of [summation operator]ni=1 Xn is unaffected by the information of whether the summands are in certain "rare" sets. An application of the result shows that [summation operator]ni=1 Xi and the extremes of X1,...,Xn are asymptotically independent. This is in sharp contrast to the infinite variance case.

Keywords: Central; limit; theorem; Extreme; value; Mixing; condition; Point; process (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

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