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Abstract
We prove a functional central limit theorem for modulus trimmed i.i.d.variables in the domain of attraction of a nonnormal stable law. In contrast to the corresponding result under ordinary trimming, our CLT contains a random centering factor which is inevitable in the nonsymmetric case. The proof is based on the weak convergence of a two-parameter process where one of the parameters is time and the second one is the fraction of truncation.
Original language | English |
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Pages (from-to) | 61-67 |
Number of pages | 7 |
Journal | Statistics & Probability Letters |
Volume | 86 |
Issue number | 1 |
DOIs | |
Publication status | Published - Mar 2014 |
Keywords
- Central limit theorem
- Iid sums
- Modulus trimming
- Stable distribution
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
Fields of Expertise
- Information, Communication & Computing
Treatment code (Nähere Zuordnung)
- Theoretical
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