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Results tagged with pr.probability
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user 115114
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
0
votes
1
answer
609
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Stable law and the domains of attraction
The multivariate generalised central limit theorem with their domains of attraction was given by Rvačeva (see also this post). The original paper is not very accessible on the internet, and neither ca …
- 380
4
votes
1
answer
352
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Reference for multivariate generalised CLT
I know that one can generalise the classical CLT in terms of heavy tail distributions, namely, for any i.i.d. random variables $X_i$,
$$\frac{X_1+\cdots+X_n}{n^{1/\alpha}}\rightarrow S(\alpha,\beta,\g …
- 380
6
votes
1
answer
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Largest eigenvalues of a (random) correlation matrix?
I am recently studying on eigenvalues of a (random) correltion matrix. For a $N\times N$ correlation matrix (with a given meaning of randomness), its (1st, 2nd, etc.) eigenvalues have some distributio …
- 380