On normal variance-mean mixtures as limit laws for statistics with random sample sizes

DOI10.1016/J.JSPI.2015.07.007zbMATH Open1329.60035OpenAlexW1128391452MaRDI QIDQ900765FDOQ900765

Authors: V. Yu. Korolev, Alexander I. Zejfman 

Publication date: 22 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.07.007

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zbMATH Keywords

limit lawsrandom indexrandom sample sizestransfer theoremmultivariate random sequencesnormal variance-mean mixture

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Cites Work

• Generalized Poisson Models and their Applications in Insurance and Finance
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• Generalized Hyperbolic Laws as Limit Distributions for Random Sums
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Modern Theory of Summation of Random Variables
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• On Limit Distributions of Randomly Indexed Random Sequences
• On an Application of the Student Distribution in the Theory of Probability and Mathematical Statistics
• On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
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• Weak Convergence of Random Sums

Cited In (5)

• Some properties of the multivariate generalized hyperbolic laws
• Convergence and inference for mixed Poisson random sums
• On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
• Title not available (Why is that?)
• On some statistical models with a random number of observations

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