Abstract
Consider a sequence of independent and identically distributed random variables with the underlying distribution in the domain of attraction of a stable distribution with an exponent in (0,2]. Define the trimmed sums as the partial sums excluding r largest observations in magnitude, where r is a fixed integer. This paper proves that Chover's law of the iterated logarithm holds for the trimmed sums.
Original language | English (US) |
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Pages (from-to) | 488-502 |
Number of pages | 15 |
Journal | Sankhya: The Indian Journal of Statistics |
Volume | 68 |
Issue number | 3 |
State | Published - Aug 1 2006 |
Keywords
- Domain of attraction
- Law of the iterated logarithm
- Stable law
- Trimmed sum