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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 17, Fasc. 1,
pages 139 - 147
 

A NOTE ON THE RATE OF CONVERGENCE FOR p -CONVOLUTIONS ON Rd

Anna K. Panorska

Abstract: This paper focuses on p -convolutions, a class of generalized convolutions of random vectors. It establishes the rate of convergence in uniform (Kolmogorov) metric for normalized n -fold p -convolution of random vectors to a generalized stable law. The method of proof relies on the application of probability metrics. Applications of generalized stable laws to financial data are also mentioned.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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