This article is cited in 2 papers

On convergence of random sums of independent random vectors to multivariate generalized variance-gamma distributions

A. Yu. Korchagin

Faculty of Computational Mathematics and Cybernetics, M. V. Lomonosov Moscow State University, 1-52 Leninskiye Gory, GSP-1, Moscow 119991, Russian Federation

Abstract: The purpose of this work is to describe the conditions for convergence of the distributions for sums of a random number of independent not necessarily identically distributed multivariate random variables to multivariate normal variance-mean mixtures, in particular, to multivariate generalized variance-gamma distributions.

Keywords: random sum; multivariate normal variance-mean mixture; multivariate generalized hyperbolic distribution; multivariate generalized variance-gamma distribution; generalized inverse Gaussian distribution; generalized gamma distribution.

Received: 02.03.2015

DOI: 10.14357/08696527150108

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