Matrix normalized convergence of a Lévy process to normality at zero

DOI10.1016/J.SPA.2015.01.003MaRDI QIDQ2342397zbMATH OpenOpenAlexFDO

Authors David M. Mason, Ross A. Maller

Publication date 28 April 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2015.01.003

zbMATH Keywords

domain of attractionLévy processesmatrix normalizationnormal distributionquadratic variation processself-normalized process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Recommendations

• Matrix normalised stochastic compactness for a Lévy process at zero
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• LIL type behavior of multivariate Lévy processes at zero
• Convergence in distribution of Lévy processes at small times with self-normalization

Cites work

• Affine normability of partial sums of I.I.D. random vectors: A characterization
• Approximate local limit theorems for laws outside domains of attraction
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3716485 (Why is no real title available?)
• scientific article; zbMATH DE number 42272 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• Matrix normalization of sums of random vectors in the domain of attraction of the multivariate normal
• On the Gaussian approximation of convolutions under multidimensional analogues of S. N. Bernstein's inequality conditions
• On the Studentisation of random vectors
• Probability estimates for the small deviations of d-dimensional random walk
• Quadratic negligibility and the asymptotic normality of operator normed sums
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• Small-time versions of Strassen's law for Lévy processes
• Some results on LIL behavior
• The 1971 Rietz Lecture Sums of Independent Random Variables--Without Moment Conditions
• The multidimensional central limit theorem for arrays normed by affine transformations

Cited in

(5)

• Matrix normalised stochastic compactness for a Lévy process at zero
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Compactness and continuity properties for a Lévy process at a two-sided exit time
• A simple condition for the multivariate CLT and the attraction to the Gaussian of Lévy processes at long and short times
• LIL type behavior of multivariate Lévy processes at zero

This page was built for publication: Matrix normalized convergence of a Lévy process to normality at zero

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2342397)