## The Annals of Mathematical Statistics

- Ann. Math. Statist.
- Volume 29, Number 2 (1958), 515-522.

### Sums of Powers of Independent Random Variables

#### Abstract

Let $(x_{nk}), k = 1, \cdots, k_n; n = 1, 2, \cdots$ be a double sequence of infinitesimal random variables which are rowwise independent (i.e., $\lim_{n\rightarrow\infty} \max_{1\leqq k \leqq k_n} P (| x_{nk} | > \epsilon) = 0$ for every $\epsilon > 0,$ and for each $n x_{n1}, \cdots, x_{nk_n}$ are independent). Let $S_n = x_{n1} + \cdots + x_{nk_n} - A_n$ where the $A_n$ are constants and let $F_n(x)$ be the distribution function of $S_n.$ Necessary and sufficient conditions for $F_n(x)$ to converge to a distribution function $F(x)$ are known, and in particular we know that $F(x)$ is infinitely divisible. In this paper we shall investigate the system of infinitesimal, rowwise independent random variables $(| x_{nk} | ^r), r \geqq 1.$ In particular we shall be interested in large values of $r$. Specifically, let $S^r_n = | x_{n1} | ^r + \cdots + | x_{n1} | ^r - B_n(r),$ where $B_n(r)$ are suitably chosen constants. Let $F_n^r(x)$ be the distribution function of $S^r_n.$ Necessary and sufficient conditions for $F_n^r(x)$ to converge $(n \rightarrow \infty)$ to a distribution function $F^r(x)$ are given, and also necessary and sufficient conditions for $F^r(x)$ to converge $(r \rightarrow \infty)$ to a distribution function $H(x)$ are given. The form that $H(x)$ must take is obtained and under rather general conditions it is shown that $H(x)$ is a Poisson distribution. In any case it is shown that $H(x)$ is the sum of two independent random variables, one Gaussian and the other Poisson (including their degenerate cases).

#### Article information

**Source**

Ann. Math. Statist., Volume 29, Number 2 (1958), 515-522.

**Dates**

First available in Project Euclid: 27 April 2007

**Permanent link to this document**

https://projecteuclid.org/euclid.aoms/1177706626

**Digital Object Identifier**

doi:10.1214/aoms/1177706626

**Mathematical Reviews number (MathSciNet)**

MR97110

**Zentralblatt MATH identifier**

0087.13602

**JSTOR**

links.jstor.org

#### Citation

Shapiro, J. M. Sums of Powers of Independent Random Variables. Ann. Math. Statist. 29 (1958), no. 2, 515--522. doi:10.1214/aoms/1177706626. https://projecteuclid.org/euclid.aoms/1177706626