Convergence of approximate martingale arrays to mixtures of infinitely divisible distributions in locally compact Abelian groups

infinitely divisible distributions locally compact Abelian group probability on locally compact groups row sums of a triangular array stable weak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Infinitely divisible distributions; stable distributions (60E07) Martingales with continuous parameter (60G44)

Review text

Sufficient conditions for the row sums of a triangular array of real- valued random variables which are martingale differences to converge in law to a mixture of infinitely divisible distributions were given by \textit{B. M. Brown} and \textit{G. K. Eagleson} [Trans. Am. Math. Soc. 162(1971), 449-453 (1972; Zbl 0228.60011)] and \textit{G. K. Eagleson} [Ann. Probab. 3, 557-562 (1975; Zbl 0319.60015)]. The main result of the present paper is a similar result for the situation in which the random variables take values in a locally compact Abelian group. In the group context, however, the concepts of expectation, variance and martingale are generally without meaning and have to be suitably replaced. In particular, the martingale condition is replaced by the approximate martingale assumption which was used by \textit{M. S. Bingham} [Math. Z. 192, 404-419 (1986; Zbl 0599.60010)].

Recommendations

Cites work

Cited in

(4)

This page was built for publication: Convergence of approximate martingale arrays to mixtures of infinitely divisible distributions in locally compact Abelian groups

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1209211)