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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2001 Volume 46, Issue 4, Pages 779–784 (Mi tvp3824)

This article is cited in 1 paper

Short Communications

Weak Convergence of a Certain Functional

V. M. Kruglov, G. N. Petrovskaya

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: We consider the functional $T_n=(S_1^2+\dots+S_n^2)/(nV_n^2)$ derived from a sequence $\{X_n\}_{n\ge 1}$ of independent identically distributed random variables, where $S_k=X_1+\dots+X_k$, $V_n^2=X_1^2+\dots+X_n^2$. Let $G$ be the distribution function of the random variable $\int_{0}^{1}W^2(t)\,dt$, where $W(t)$, $t\in [0,1]$, is a Wiener process. We show that the distribution function $T_n$ weakly converges to $G$ as $n\to\infty$ if and only if the distribution function of the random variable $X_1$ belongs to the attraction domain of the normal law and $\mathbf{E}X_1=0$.

Keywords: weak convergence, convergence in probability, random variable, distribution function.

Received: 05.02.2001

DOI: 10.4213/tvp3824


 English version:
Theory of Probability and its Applications, 2002, 46:4, 721–727

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