Abstract:
In this paper, we study the behaviour of $\displaystyle S_n=\sum_{k=-\infty}^{\infty}a_{kn}\xi_k$ as $n$ tends to infinity, where $\xi_k$ are independent identically distributed random variables and their common distribution function belongs to the domain of attraction of a certain stable law $G$ with index $\alpha$. Let the following two conditions on the matrix of coefficients ($a_{kn}$) be satisfied:
1) $\displaystyle\sum_{k=-\infty}^{\infty}|a_{kn}|^{\alpha}\widetilde h(a_{kn})=b_n\to 1\qquad(n\to\infty),\\$
where $\widetilde h(x)$ is the slowly varying function from the representation for the characteristic function of $G$;
2) $\displaystyle\gamma_n=\sup_k|a_{kn}|\to 0\qquad(n\to\infty).\\$
Then it is shown that the distribution function of $S_n$ converges to a stable distribution function, and, if $\displaystyle \int_{-\infty}^{\infty}|f(t)|^p\,dt<\infty$, $p>0$, where $f(t)$ is the characteristic function of $\xi_k$ then the density function of $S_n$ exists and converges to the density function of the limit distribution.
Citation:
E. M. Shoukry, “Local limit theorems for weighted sums of independent random variables”, Teor. Veroyatnost. i Primenen., 21:1 (1976), 135–142; Theory Probab. Appl., 21:1 (1976), 137–144
\Bibitem{Shu76}
\by E.~M.~Shoukry
\paper Local limit theorems for weighted sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1976
\vol 21
\issue 1
\pages 135--142
\mathnet{http://mi.mathnet.ru/tvp3281}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=420796}
\zmath{https://zbmath.org/?q=an:0368.60061}
\transl
\jour Theory Probab. Appl.
\yr 1976
\vol 21
\issue 1
\pages 137--144
\crossref{https://doi.org/10.1137/1121011}
Linking options:
https://www.mathnet.ru/eng/tvp3281
https://www.mathnet.ru/eng/tvp/v21/i1/p135
This publication is cited in the following 4 articles:
Magda Peligrad, Hailin Sang, Na Zhang, “On the local limit theorems for linear sequences of lower psi-mixing Markov chains”, Statistics & Probability Letters, 210 (2024), 110108
Magda Peligrad, Hailin Sang, Yimin Xiao, Guangyu Yang, “Limit theorems for linear random fields with innovations in the domain of attraction of a stable law”, Stochastic Processes and their Applications, 150 (2022), 596
Makoto Maejima, Lecture Notes in Mathematics, 1233, Stability Problems for Stochastic Models, 1987, 57
Yuji Kasahara, Makoto Maejima, “Functional limit theorems for weighted sums of I.I.D. random variables”, Probab. Th. Rel. Fields, 72:2 (1986), 161