On the asymptotic normality of some sums of dependent random variables

2017 ◽  
Vol 27 (2) ◽  
Author(s):  
Margarita I. Tikhomirova ◽  
Vladimir P. Chistjakov

AbstractA theorem on the asymptotic normality of the sum of dependent random variables is stated and proved. Conditions of the theorem are formulated in terms of a dependency graph which characterizes the relationships between random variables. This theorem is used to prove the asymptotic normality of the sum of functions defined on subsets of elements of the stationary sequence satisfying the strong mixing condition. As an illustration of possible applications of these theorems we give a theorem on the asymptotic normality of the number of empty cells if the random sequence of cells occupied by particles is a stationary sequence satisfying the uniform strong mixing condition.

2014 ◽  
Vol 24 (5) ◽  
Author(s):  
Margarita I. Tikhomirova ◽  
Vladimir P. Chistyakov

AbstractThe paper is concerned with the numbers of non-occurring values in intervals of a stationary sequence of m-dependent random variables with N outcomes. These numbers are shown to be asymptotically joint normally distributed, provided that the number N and the lengths of intervals tend to infinity with the same asymptotic order of growth.


1985 ◽  
Vol 22 (03) ◽  
pp. 729-731 ◽  
Author(s):  
Donald W. K. Andrews

The condition of strong mixing for triangular arrays of random variables is a common condition of weak dependence. In this note, it is shown that this condition is not as general as one might believe. In particular, it is shown that there exist triangular arrays of first-order autoregressive random variables which converge almost surely to an independent identically distributed sequence of random variables and for which the central limit theorem holds, but which are not strong mixing triangular arrays. Hence, the strong mixing condition is more restrictive than desired.


Author(s):  
A. G. Grin

For symmetric functions on random variables from stationary sequences satisfying the uniformly strong mixing condition, the general conditions of attraction to the normal law in terms of distributions of individual items are obtained. The main result of the paper generalizes all known to present results of this type.


1985 ◽  
Vol 22 (3) ◽  
pp. 729-731 ◽  
Author(s):  
Donald W. K. Andrews

The condition of strong mixing for triangular arrays of random variables is a common condition of weak dependence. In this note, it is shown that this condition is not as general as one might believe. In particular, it is shown that there exist triangular arrays of first-order autoregressive random variables which converge almost surely to an independent identically distributed sequence of random variables and for which the central limit theorem holds, but which are not strong mixing triangular arrays. Hence, the strong mixing condition is more restrictive than desired.


1980 ◽  
Vol 17 (1) ◽  
pp. 94-101 ◽  
Author(s):  
Richard C. Bradley

Given a strictly stationary sequence {Xk, k = …, −1,0,1, …} of r.v.'s one defines for n = 1, 2, 3 …, . Here an example of {Xk} is given with finite second moments, for which Var(X1 + … + Xn)→∞ and ρ n → 0 as n→∞, but (X1 + … + Xn) fails to be asymptotically normal; instead there is partial attraction to non-stable limit laws.


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