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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

dc.contributor.authorMaller, Ross
dc.contributor.authorMason, David M
dc.date.accessioned2015-12-10T23:27:10Z
dc.identifier.issn0304-4149
dc.identifier.urihttp://hdl.handle.net/1885/68101
dc.description.abstractWe 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
dc.publisherElsevier
dc.sourceStochastic Processes and their Applications
dc.titleMatrix normalized convergence of a Levy process to normality at zero
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume125
dc.date.issued2015
local.identifier.absfor010400 - STATISTICS
local.identifier.ariespublicationa383154xPUB1621
local.type.statusPublished Version
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.contributor.affiliationMason, David M, University of Delaware
local.description.embargo2037-12-31
local.bibliographicCitation.issue6
local.bibliographicCitation.startpage2353
local.bibliographicCitation.lastpage2382
local.identifier.doi10.1016/j.spa.2015.01.003
dc.date.updated2015-12-10T11:04:41Z
local.identifier.scopusID2-s2.0-84939974747
CollectionsANU Research Publications

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