Sum of arbitrarily dependent random variables

نویسنده

  • Ruodu Wang
چکیده

In many classic problems of asymptotic analysis, it appears that the scaled average of a sequence of F -distributed random variables converges to G-distributed limit in some sense of convergence. In this paper, we look at the classic convergence problems from a novel perspective: we aim to characterize all possible limits of the sum of a sequence of random variables under different choices of dependence structure. We show that under general tail conditions on two given distributions F and G, there always exists a sequence of F -distributed random variables such that the scaled average of the sequence converges to a G-distributed limit almost surely. We construct such a sequence of random variables via a structure of conditional independence. The results in this paper suggest that with the common marginal distribution fixed and dependence structure unspecified, the distribution of the sum of a sequence of random variables can be asymptotically of any shape.

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تاریخ انتشار 2014