On domains of partial attraction

A new necessary and sufficient condition for a distribution of unbounded support to be in a domain of partial attraction is given. This relates the recent work of [5] and [6].

An extension of kesten's generalised law of the iterated Logarithm

Let Xi be independent and identically distributed random variables with Sn = X1 + X2 + … + Xn. We extend a classic result of Kesten, by showing that if Xiare in the domain of partial attraction of the normal distribution, there are sequences αn and B(n) for whichalmost surely, and the almost sure limit points of (sn−αn)/b(n) coincide with the interval [−1, l]. The norming sequence B(n) is slightly different to that used by Kesten, and has properties that are less desirable. The converse to the above result is known to be true by results of Heyde and Rogozin.

Partial attraction of maxima

There exist three classes of probability laws that are stable for maxima. A number of well-known distributions lie in the domains of attraction of these laws. This fact is sometimes exploited by fitting the distribution of maxima with one of the stable laws. Such a procedure may well be misguided, however, since distributions exist which produce maxima having any desired distribution and not just a stable type. In this paper partial attraction of maxima is defined and it is shown that all distributions have a non-empty domain of partial attraction of maxima. In fact, there exists a distribution that lies simultaneously in the domain of partial attraction of maxima of all distributions.

Partial attraction of maxima

There exist three classes of probability laws that are stable for maxima. A number of well-known distributions lie in the domains of attraction of these laws. This fact is sometimes exploited by fitting the distribution of maxima with one of the stable laws. Such a procedure may well be misguided, however, since distributions exist which produce maxima having any desired distribution and not just a stable type. In this paper partial attraction of maxima is defined and it is shown that all distributions have a non-empty domain of partial attraction of maxima. In fact, there exists a distribution that lies simultaneously in the domain of partial attraction of maxima of all distributions.