The Annals of Probability

On a Local Limit Theorem Concerning Variables in the Domain of Normal Attraction of a Stable Law of Index $\alpha, 1 < \alpha < 2$

Sujit K. Basu

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Abstract

Let $\{X_n\}$ be a sequence of independent and identically distributed random variables with $EX_1 = 0$. Suppose that there exists a constant $a > 0$, such that $Z_n = (an^r)^{-1}(X_1 + X_2 + \cdots + X_n)$ converges in law to a stable distribution function (df) $V(x)$ as $n \rightarrow \infty$. If, in addition, we assume that the characteristic function of $X_1$ is absolutely integrable in $m$th power for some integer $m \geqq 1$, then for all large $n$, the df $F_n$ of $Z_n$ is absolutely continuous with a probability density function (pdf) $f_n$ such that the relation $$\lim_{n\rightarrow\infty}|x\|f_n(x) - \nu(x)| = 0$$ holds uniformly in $x, -\infty < x < \infty$, where $v$ is the pdf of $V$.

Article information

Source
Ann. Probab., Volume 4, Number 3 (1976), 486-489.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176996099

Digital Object Identifier
doi:10.1214/aop/1176996099

Mathematical Reviews number (MathSciNet)
MR405538

Zentralblatt MATH identifier
0351.60023

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60E05: Distributions: general theory 62E15: Exact distribution theory

Keywords
Domain of normal attraction stable law

Citation

Basu, Sujit K. On a Local Limit Theorem Concerning Variables in the Domain of Normal Attraction of a Stable Law of Index $\alpha, 1 &lt; \alpha &lt; 2$. Ann. Probab. 4 (1976), no. 3, 486--489. doi:10.1214/aop/1176996099. https://projecteuclid.org/euclid.aop/1176996099


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