The limit theorem for maximum of partial sums of exchangeable random variables

Patricia Alonso Ruiz; Alexander S. Rakitko

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arXiv · 1506.09183

The limit theorem for maximum of partial sums of exchangeable random variables

Patricia Alonso Ruiz·Alexander S. Rakitko

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Abstract

We obtain the analogue of the classical result by Erd\"os and Kac on the limiting distribution of the maximum of partial sums for exchangeable random variables with zero mean and variance one. We show that, if the conditions of the central limit theorem of Blum et al. hold, the limit coincides with the classical one. Under more general assumptions, the probability of the random variables having conditional negative drift appears in the limiting distribution.

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Patricia Alonso Ruiz, Alexander S. Rakitko. 2015-06-30. The limit theorem for maximum of partial sums of exchangeable random variables. https://arxiv.org/abs/1506.09183

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