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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2024 Volume 535, Pages 92–104 (Mi znsl7488)

Limit theorems for randomized stationary processes and stable laws

Yu. A. Davydovab, D. S. Rahmankinab

a St. Petersburg State University, Russia
b Laboratoire Paul Painlevé Université de Lille, France

Abstract: Davydov Yu. A., Rahmankin D. S. Limit theorems for randomized stationary processes and stable laws. \smallbreak \nopagebreak The goal of this work is to find conditions under which partial sums of strictly stationary sequences are attracted to a non-Gaussian stable limit. In contrast to the results available in the literature, we come away from the traditional methods and use a new approach based on randomization of the initial data. His effectiveness is confirmed by examples. Thus, it turned out that in the case of uniformly strong mixing, without any conditions on the mixing coefficient, the convergence of randomized sums occurs whenever when the marginal distribution lies in the area of attraction of a stable law.

Key words and phrases: stationary sequence, stable limit distribution, randomization, weak convergence, mixing, weak dependence, regular variation.

UDC: 519.2

Received: 17.10.2024



© Steklov Math. Inst. of RAS, 2025