Limit Theorems for Sums of Heavy-tailed Variables with Random Dependent Weights

Stilian A. Stoev () and Murad S. Taqqu ()
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Stilian A. Stoev: University of Michigan
Murad S. Taqqu: Boston University

Methodology and Computing in Applied Probability, 2007, vol. 9, issue 1, 55-87

Abstract: Abstract Let $U_{j} ,\;j \in \mathbb{N}$ be independent and identically distributed random variables with heavy-tailed distributions. Consider a sequence of random weights ${\left\{ {W_{j} } \right\}}_{{j \in \mathbb{N}}}$ , independent of ${\left\{ {U_{j} } \right\}}_{{j \in \mathbb{N}}}$ and focus on the weighted sums ${\sum\nolimits_{j = 1}^{{\left[ {nt} \right]}} {W_{j} {\left( {U_{j} - \mu } \right)}} }$ , where μ involves a suitable centering. We establish sufficient conditions for these weighted sums to converge to non-trivial limit processes, as n→∞, when appropriately normalized. The convergence holds, for example, if ${\left\{ {W_{j} } \right\}}_{{j \in \mathbb{N}}}$ is strictly stationary, dependent, and W 1 has lighter tails than U 1. In particular, the weights W j s can be strongly dependent. The limit processes are scale mixtures of stable Lévy motions. We establish weak convergence in the Skorohod J 1-topology. We also consider multivariate weights and show that they converge weakly in the strong Skorohod M 1-topology. The M 1-topology, while weaker than the J 1-topology, is strong enough for the supremum and infimum functionals to be continuous.

Keywords: weighted sums; random weights; limit theorems; stable Lévy motion; Skorohod topology; strong M 1-topology; Primary 60F17; 60G52; 60G70; Secondary 60E07; 62E20 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-006-9011-5

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