Geometric stable distributions in Banach spaces

DOI10.1007/BF02214274MaRDI QIDQ1322912zbMATH OpenOpenAlexFDO

Authors Svetlozar T. Rachev, Gennady Samorodnitsky

Publication date 15 January 1995

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02214274

characteristic functions convergence rates financial modeling infinitely divisible distributions probability in Banach spaces Prokhorov metric stable distribution

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Infinitely divisible distributions; stable distributions (60E07)

Review text

The paper deals with the class of geometric stable (GS) distributions whose significance for heavy tailed modeling in various areas is illustrated by examples and documented by a large number of references. On a Banach space \(B\) a characterization of GS distributions as well as of the more general class of geometric infinitely divisible distributions is given in terms of characteristic functions and limits of sums of i.i.d. r.v.'s. For the case that \(Z_ p:= p^{1/\alpha} \sum_{i=1}^{T(p)} X_ i\) converges for \(p\to 0\) weakly towards a \(B\)-valued r.v. \(Y\) with GS law -- where \(X_ 1, X_ 2,\dots\) are i.i.d. \(B\)-valued r.v.'s, \(T(p)\) is a geometrically distributed r.v. independent of the sequence \(\{X_ i\}\), \(0<\alpha \leq 2\), \(p\in [0,1]\) -- the authors give convergence rates for \(\| Z_ p\| @>w >> \| Y\|\) and \(Z_ p @> w>> Y\) in terms of certain ideal metrics of various orders and the Prokhorov metric.

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