On the central limit theorem for modulus trimmed sums

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.

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Year of publication:	2014
Authors:	Bazarova, Alina ; Berkes, István ; Horváth, Lajos
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 61-67
Publisher:	Elsevier
Subject:	Modulus trimming \| Stable distribution \| Iid sums \| Central limit theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011040037