Limiting distribution of $Y_n=\frac{\sum_{i=1}^n X_i}{\sum_{i=1}^n X_i^3}$ where $X_i$’s are i.i.d $N(0,1)$

normal distributionprobability distributionsprobability theoryprobability-limit-theoremsweak-convergence

Suppose $X_1,X_2,\ldots,X_n$ are i.i.d standard normal variables. I am looking for the limiting distribution of $$Y_n=\frac{\sum_{i=1}^n X_i}{\sum_{i=1}^n X_i^3}$$

Since $E(X_1^3)=0$, I don't think I can use the law of large numbers or Slutsky's theorem.

I can rewrite $Y_n$ as $$Y_n=\frac{\sqrt n\cdot\frac1n\sum_{i=1}^n X_i}{\sqrt n\cdot\frac1n\sum_{i=1}^n X_i^3}$$

In this form, the numerator has a $N(0,1)$ distribution and the denominator is asymptotically $N(0,15)$ by CLT. But does this help me in any way?

Characteristic function of $Y_n$ is of the form

$$E\left[e^{itY_n}\right]=\frac1{(\sqrt{2\pi})^n}\int_{\mathbb R^n} \exp\left\{it\frac{\sum_{i=1}^n x_i}{\sum_{i=1}^n x_i^3}-\frac12\sum_{i=1}^n x_i^2\right\}\,dx_1\ldots dx_n$$

I am not sure if this readily simplifies either. Any suggestion would be great.


Based on the answer by @Chris Janjigian, it can be said that

$$Y_n \stackrel{d}\longrightarrow a+bY$$

for some $a,b \in \mathbb R$, where $Y$ has a standard Cauchy distribution.

Best Answer

Call the numerator $A_n$ and the denominator $B_n$. By the multidimensional CLT $(A_n/\sqrt{n}, B_n/\sqrt{n})$ converges jointly in distribution to a mean zero 2D Normal random variable $(A,B)$ with Var$(A) = 1$, Var(B) = 15 and Cov(A,B) = $3$ (consider the 2D vectors $(X_i,X_i^3)$ as your sample). You can then apply the continuous mapping theorem to see that $A_n/B_n$ converges to $A/B$. The distribution of this random variable can be computed by hand using change-of-variables and it is generalized Cauchy distributed.

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