Generalized Hyperbolic Laws as Limit Distributions for Random Sums

DOI10.1137/S0040585X97986400MaRDI QIDQ5166315zbMATH OpenFDO

Authors V. Yu. Korolev

Publication date 26 June 2014

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97986400

zbMATH Keywords

convergence rategeneralized Gaussian distributiongeneralized hyperbolic distributionmixturesrandom sum

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Sums of independent random variables; random walks (60G50) Special processes (60K99)

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Cited in

(14)

• Some properties of the multivariate generalized hyperbolic laws
• On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Statistical detection of movement activities in a human brain by moving separation of mixture distributions
• On accuracy of long-term risk forecasts by normal variance-mean mixtures decomposition algorithm
• A note on functional limit theorems for compound Cox processes
• Limit distributions of random sums of \(\mathbb{Z}_{+}\)-valued random variables
• Limit distributions for doubly stochastically rarefied renewal processes and their properties
• On the convergence of distributions of statistics constructed from samples of random size to a multivariate generalized variance-gamma distributions
• Quasi-exponentiated mixed normal distributions
• Normal variance-mean mixtures as stationary distributions of stochastic difference equations with random coefficients
• Bounds for convergence rate in laws of large numbers for mixed Poisson random sums
• Convergence of nonhomogeneous random walks generated by compound Cox processes to generalized variance-gamma Lévy processes
• On normal variance-mean mixtures as limit laws for statistics with random sample sizes

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