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Domain of attraction 1 Domain of partial attraction 1 Lévy process 1 Matrix normalization 1 Normal distribution 1 Quadratic variation process 1 Self-normalized process 1
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Maller, Ross A. 1 Mason, David M. 1
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Stochastic Processes and their Applications 1
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Matrix normalized convergence of a Lévy process to normality at zero
Maller, Ross A.; Mason, David M. - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2353-2382
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, Lévy and Hahn and Klass for random walks....
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