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Short Communications
On the characteristic function of the joint limit distribution of the first and second order power sums
Gy. Michaletzkya, L. Szeidla, P. Várlakib a Department of Telecommunication and Telematics, Technical University, Hungary
b Department of Probability Theory and Statistics, Eötvös Loránd University, Hungary
Abstract:
In this paper we investigate the joint limit characteristic function of normalized first and second-order power sums for a sequence of i.i.d. random variables with distributions belonging to the domain of attraction of an $\alpha$-stable law for $\alpha< 2$. An explicit form is presented in terms of generalized hypergeometric functions when $0 < \alpha < 2$, $\alpha\ne 1$, and that of Fresnel functions $S$ and $C$ for $\alpha=1$.
Keywords:
normalized power sums, domain of attraction of $\alpha$-stable law, limit characteristic function, generalized hypergeometric functions, Fresnel $S$ and $C$ functions, Schrö, dinger equation.
Received: 10.06.1997
Citation:
Gy. Michaletzky, L. Szeidl, P. Várlaki, “On the characteristic function of the joint limit distribution of the first and second order power sums”, Teor. Veroyatnost. i Primenen., 43:1 (1998), 180–189; Theory Probab. Appl., 43:1 (1999), 126–134
Linking options:
https://www.mathnet.ru/eng/tvp937https://doi.org/10.4213/tvp937 https://www.mathnet.ru/eng/tvp/v43/i1/p180
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