Convergence to stable laws in Mallows distance for mixing sequences of random variables

被引:2
|
作者
Barbosa, Euro G. [1 ]
Dorea, Chang C. Y. [2 ]
机构
[1] Banco Cent Brasil, BR-70074900 Brasilia, DF, Brazil
[2] Univ Brasilia, Dept Matemat, BR-70910900 Brasilia, DF, Brazil
关键词
Mallows distance; stable laws; mixing sequences;
D O I
10.1214/09-BJPS026
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Convergence in Mallows distance is of particular interest when heavy-tailed distributions are considered. For 1 <= alpha <= 2, it constitutes an alternative technique to derive Central Limit type theorems for non-Gaussian a-stable laws. In this note, for properly stabilized martingale sums and sequences of phi-mixing random variables, we establish Mallows convergence to stable laws. Sufficient conditions are presented in the setting of familiar Lindeberg-like conditions and extend earlier results for the independent case.
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页码:128 / 136
页数:9
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