Weighted sums of i.i.d. random variables attracted to integrals of stable processes (Q1092510): Difference between revisions
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Revision as of 02:10, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weighted sums of i.i.d. random variables attracted to integrals of stable processes |
scientific article |
Statements
Weighted sums of i.i.d. random variables attracted to integrals of stable processes (English)
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1988
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Under the assumption of the convergence of partial sum processes \(Z_ n(t)\) of i.i.d. random variables to an \(\alpha\)-stable Lévy process \(Z_{(\alpha)}(t)\), \(0<\alpha \leq 2\), the convergence of weighted sums \(\int f_ n(u)dZ_ n(u)\) to \(\int f(u)dZ_{(\alpha)}(u)\) is studied. The general convergence result is then applied to examine the domain of attraction of the fractional stable process.
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convergence of partial sum processes
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Lévy process
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domain of attraction of the fractional stable process
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