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Matrix normalized convergence of a Levy process to normality at zero

Maller, Ross; Mason, David M

Description

We give a necessary and sufficient condition for a d-dimensional Lévy process to be in the matrix normalized domain of attraction of a d-dimensional normal random vector, as t↓0. This transfers to the Lévy case classical results of Feller, Khinchin, L

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/68101
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2015.01.003

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