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Short Communications
Local limit theorems for weighted sums of independent random variables
E. M. Shoukry Leningrad
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.
Received: 17.09.1974