The Annals of Probability

The Asymptotic Distribution of Trimmed Sums

Sandor Csorgo, Erich Haeusler, and David M. Mason

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Abstract

Let $X_{1,n} \leq \cdots \leq X_{n,n}$ be the order statistics of $n$ independent and identically distributed random variables and let $m_n$ and $k_n$ be positive integers such that $m_n \rightarrow \infty, k_n \rightarrow \infty, m_n/n \rightarrow 0$ and $k_n/n \rightarrow 0$ as $n \rightarrow \infty$. We find a necessary and sufficient condition for the existence of normalizing and centering constants $A_n > 0$ and $B_n$ such that the sequence $T_n = A^{-1}_n \big\{\sum_{i=m_n+1}^{n-k_n} X_{i,n} - B_n\big\}$ is stochastically compact and completely describe the possible subsequential limiting distributions. We also give a necessary and sufficient condition for the existence of $A_n$ and $B_n$ such that $T_n$ is asymptotically normal. A variant of Stigler's theorem when $m_n/n \rightarrow \alpha$ and $k_n/n \rightarrow 1 - \beta$, where $0 < \alpha < \beta < 1$, is also obtained as a by-product.

Article information

Source
Ann. Probab., Volume 16, Number 2 (1988), 672-699.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176991780

Digital Object Identifier
doi:10.1214/aop/1176991780

Mathematical Reviews number (MathSciNet)
MR929070

Zentralblatt MATH identifier
0647.62030

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems

Keywords
Trimmed sums stochastic compactness asymptotic normality

Citation

Csorgo, Sandor; Haeusler, Erich; Mason, David M. The Asymptotic Distribution of Trimmed Sums. Ann. Probab. 16 (1988), no. 2, 672--699. doi:10.1214/aop/1176991780. https://projecteuclid.org/euclid.aop/1176991780


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