Regular variation and domains of attraction in \({\mathbb{R}}^ k\) (Q1072212): Difference between revisions

Let \(\mu\) be a probability distribution on \(R^ k\). In this paper the results of Feller characterizing domains of attraction in \(R^ 1\) in terms of regular variation are extended to the multivariate case. Theorem 1 says that \(\mu\) is in the domain of attraction of a full normal law on \(R^ k\) if and only if the truncated second moment function \[ M(x)=\int <y,(x/\| x\|)>I(| <y,x/\| x\| >| \leq \| x\|)\mu \{dy\} \] is slowly varying. The second result is that \(\mu\) belongs to the domain of attraction of a full nonnormal stable law on \(R^ k\) if and only if \(\mu\) varies regularly with index \(\rho\in (-2,0)\).