Limiting Distribution of Unusual Quantities

131 Views Asked by At

By central limit theorem, we know that for independent and identically distributed random variables $X_1,X_2,...,X_n$, as $n\rightarrow\infty$, that:

$$\frac{\sqrt{n}(\bar X-\mu)}{\sigma}\rightarrow N(0,1)$$

Where, in this context, $\rightarrow$ represents convergence in distribution, $\bar X=\frac{\sum_{i=1}^n X_i}{n}$, $\mu$ is the mean of the $X_i$'s, and $\sigma$ is the standard deviation of the $X_i$'s.

However, what is the the limiting distribution of the following quantity, for $\alpha\in\mathbb{R}_{>0}$ and $\beta\in\mathbb{R}$:

$$\frac{\alpha\sqrt{n}(\bar X-\beta\mu)}{\sigma}$$

Similarly, what is the limiting distribution of:

$$\frac{\alpha(\bar X-\beta\mu)}{\sigma}$$

Is it possible to determine a limiting distribution for either of these quantities for all values $\alpha$ and $\beta$? Remember, the underlying $X_i$'s are not necessarily normally distributed; all we know is that they are i.i.d. If not, what additional assumptions need to be made to determine these limiting distributions?

1

There are 1 best solutions below

3
On BEST ANSWER

Let us start from the second expression. Note that $\bar{X}_n$ converges in probability to $\mu$ (WLLN), and all the rest are constants, hence by the continuous mapping theorem you have that $$ \sigma^{-1}(\bar{X}_n - \mu \beta) = g(\bar{X}_n) \xrightarrow{p} g(\mu) = \sigma^{-1}(\mu - \mu \beta). $$ For the first expression is slightly more subtle. $\alpha$ doesn't bother us, however let us look at $\beta$. If $\beta = 1$ then you limit is $\alpha N(0,1)$ (by the continuous mapping, regular calculations - whatever). Now, let $\beta \neq 1$ (and $\mu \neq 0$), thus $\pm \mu$ in the brackets you get $$ \frac{\alpha \sqrt{n}}{\sigma}( \bar{X}_n - \mu + \mu(1-\beta) )= \frac{\alpha \sqrt{n}}{\sigma}( \bar{X}_n - \mu) + \frac{\alpha \sqrt{n}}{\sigma}\mu(1-\beta) \xrightarrow{D}\alpha N(0,1) \pm \infty = \pm \infty. $$ Namely, if $\beta < 1$ then it goes to $\infty$, if $\beta >1$ then to $-\infty$.