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Tightness and Convergence of Trimmed Lévy Processes to Normality at Small Times

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  • Yuguang Fan

    (The University of Melbourne
    The Australian National University)

Abstract

For nonnegative integers r, s, let $$^{(r,s)}X_t$$ ( r , s ) X t be the Lévy process $$X_t$$ X t with the r largest positive jumps and the s smallest negative jumps up till time t deleted, and let $$^{(r)}\widetilde{X}_t$$ ( r ) X ~ t be $$X_t$$ X t with the r largest jumps in modulus up till time t deleted. Let $$a_t \in \mathbb {R}$$ a t ∈ R and $$b_t>0$$ b t > 0 be non-stochastic functions in t. We show that the tightness of $$({}^{(r,s)}X_t - a_t)/b_t$$ ( ( r , s ) X t - a t ) / b t or $$({}^{(r)}{\widetilde{X}}_t - a_t)/b_t$$ ( ( r ) X ~ t - a t ) / b t as $$t\downarrow 0$$ t ↓ 0 implies the tightness of all normed ordered jumps, and hence the tightness of the untrimmed process $$(X_t -a_t)/b_t$$ ( X t - a t ) / b t at 0. We use this to deduce that the trimmed process $$({}^{(r,s)}X_t - a_t)/b_t$$ ( ( r , s ) X t - a t ) / b t or $$({}^{(r)}{\widetilde{X}}_t - a_t)/b_t$$ ( ( r ) X ~ t - a t ) / b t converges to N(0, 1) or to a degenerate distribution as $$t\downarrow 0$$ t ↓ 0 if and only if $$(X_t-a_t)/b_t $$ ( X t - a t ) / b t converges to N(0, 1) or to the same degenerate distribution, as $$t \downarrow 0$$ t ↓ 0 .

Suggested Citation

  • Yuguang Fan, 2017. "Tightness and Convergence of Trimmed Lévy Processes to Normality at Small Times," Journal of Theoretical Probability, Springer, vol. 30(2), pages 675-699, June.
  • Handle: RePEc:spr:jotpro:v:30:y:2017:i:2:d:10.1007_s10959-015-0658-0
    DOI: 10.1007/s10959-015-0658-0
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    References listed on IDEAS

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    1. Berkes, István & Horváth, Lajos, 2012. "The central limit theorem for sums of trimmed variables with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 449-465.
    2. R. A. Doney & R. A. Maller, 2002. "Stability and Attraction to Normality for Lévy Processes at Zero and at Infinity," Journal of Theoretical Probability, Springer, vol. 15(3), pages 751-792, July.
    3. Fan, Yuguang, 2015. "Convergence of trimmed Lévy processes to trimmed stable random variables at 0," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3691-3724.
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