Rates of convergence in the operator-stable limit theorem

DOI10.1007/BF02213734MaRDI QIDQ1908204zbMATH OpenOpenAlexFDO

Authors M. Maejima, Svetlozar T. Rachev

Publication date 20 March 1996

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

Full work available at URL https://doi.org/10.1007/bf02213734

zbMATH Keywords

convergence to operator-stable distributionsoperator-stabilityprobability metricsrate of convergence

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Functional limit theorems; invariance principles (60F17)

Review text

When one deals with random vectors, then the normalizations by linear operators (matrices in \(\mathbb{R}^d\)) seem to be the most natural [see the reviewer and \textit{J. D. Mason}, ``Operator-limit distributions in probability theory (J. Wiley, New York, 1993)]. For i.i.d. summands it leads to the operator-stable distributions that are characterized by their operator exponents. The authors study speed of convergence to operator-stable distributions under different kinds of probability metrics. In particular, they introduce a new metric depending on the operator exponent.

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Cites work

• A bivariate stable characterization and domains of attraction
• A new ideal metric with applications to multivariate stable limit theorems
• scientific article; zbMATH DE number 3426529 (Why is no real title available?)
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• scientific article; zbMATH DE number 49698 (Why is no real title available?)
• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• Moments of distributions attracted to operator-stable laws
• Moments of random vectors which belong to some domain of normal attraction
• Operator stable laws: Series representations and domains of normal attraction
• Operator-stable distributions and stable marginals
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• On the rates of convergence for probability type operators sequence
• Bounds for the Convergence Rate of Numerical Characteristics in Limit Theorems with Stable Limit Law
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• On the rates of convergence of the q-Lupaş-Stancu operators

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