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Brazilian Statistical Society, Brazilian Journal of Probability and Statistics, 2(24), 2010

DOI: 10.1214/09-bjps026

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Convergence to stable laws in Mallows distance for mixing sequences of random variables

Journal article published in 2010 by Euro G. Barbosa, Chang C. Y. Dorea
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

Convergence in Mallows distance is of particular interest when heavy-tailed distributions are considered. For 1≤α<2, it constitutes an alternative technique to derive Central Limit type theorems for non-Gaussian α-stable laws. In this note, for properly stabilized martingale sums and sequences of φ-mixing random variables, we establish Mallows convergence to stable laws. Sufficient conditions are presented in the setting of familiar Lindeberg-like conditions and extend earlier results for the independent case.