Invariance principles for generalized domains of semistable attraction

Wensheng Wang

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 1-17

Abstract: Let X,X1,X2,… be independent and identically distributed Rd-valued random vectors and assume X belongs to the generalized domain of attraction of some operator semistable law without normal component. Then without changing its distribution, one can redefine the sequence on a new probability space such that the properly affine normalized partial sums converge in probability and consequently even in Lp (for some p>0) to the corresponding operator semistable Lévy motion.

Keywords: Operator semistable law; Domain of attraction; Invariance principle; Affine normalized partial sum; Operator Lévy motion (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2013.07.004

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