Limit laws for power sums and norms of i.i.d. samples

作者：Janssen Anja^*

来源：Probability Theory and Related Fields, 2010, 146(3-4): 515-533.

DOI：10.1007/s00440-008-0198-y

• Central limit theorem
• Extreme value theory
• Infinitely divisible distributions
• l(p)-norms
• Power sums
• Stable distributions
• von Mises representation

We study the limit behavior of power sums and norms of i.i.d. positive samples from the max domain of attraction of an extreme value distribution. To this end, we combine limit theorems for sums and for maxima and use a link between extreme value theory and the L,vy measures of certain infinitely divisible laws, which are limit distributions of power sums. In connection with the von Mises representation of the Gumbel max domain of attraction, this new approach allows us to extend the limit results for power sums found in Ben Arous et al. (Probab Theory Relat Fields 132:579-612, 2005) and Bogachev (J Theor Probab 19:849-873, 2006). Furthermore, our findings shed a new light on the results of Schlather (Ann Probab 29:862-881, 2001) and treat the Gumbel case which is missing there.

• 出版日期2010-3