Timeline for Stochastic Integrals and Cauchy Variables
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 9, 2011 at 22:25 | history | edited | Pablo | CC BY-SA 3.0 |
added 120 characters in body
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| Jul 9, 2011 at 22:24 | comment | added | Pablo | OK I edit my answer to add "is Cauchy" and maybe I have now understood what unknown was looking for. | |
| Jul 9, 2011 at 22:18 | comment | added | Tom LaGatta | I read your second sentence as saying, "the sum of independent Cauchy variables is normal", which is not true. If you meant that the sum of independent Cauchy variables is Cauchy, then you are correct and I apologize for misreading your post. However, this doesn't give a stochastic integral approximation for $\sum f(t) X_t$, which I believe is what unknown was looking for. | |
| Jul 9, 2011 at 22:12 | comment | added | Pablo | Tom : I have never said that i.i.d. sequences of Cauchy distributed variables satisfied LLN nor CLT. I just said that the law of partial sums were known. Wasn'it the question ? | |
| Jul 9, 2011 at 22:06 | comment | added | Tom LaGatta | This is not true. The Cauchy distribution does not have finite mean, hence satisfies neither the Law of Large Numbers nor the Central Limit Theorem. | |
| Jul 9, 2011 at 21:10 | history | answered | Pablo | CC BY-SA 3.0 |