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Operator Geometric Stable Laws
Operator Geometric Stable Laws
Tomasz J. Kozubowski1, Mark M. Meerschaert2, Anna K. Panorska3
University of Nevada, Reno
and
Hans-Peter Scheffler
University of Dortmund
Operator geometric stable laws are the weak limits of operator normed and centered
geometric random sums of independent, identically distributed random vectors. They
generalize operator stable laws and geometric stable laws. In this work we characterize
operator geometric stable distributions, their divisibility and domains of attraction, and
their application to finance. Operator geometric stable laws are useful for modeling finan-
cial portfolios where the cumulative price change vectors are sums of a random number of
small random shocks with heavy tails, and each component has a different tail index.
AMS 2000 subject classifications: 60E07, 60F05, 60G50, 62H05, 62P05
Key words and phrases: currency exchange rates; domains of attraction; geometric
stable law; heavy tails; infinite divisibility; Linnik distribution; operator stable law; ran-
domized sum; skew Laplace law; stability; stable distribution.
1. Introduction
We introduce a new class of multivariate distributions called operator geometric stable,
generalizing the geometric stable and operator stable laws. Our motivation comes from
1The research of this author was partially supported by NSF grant DMS-0139927.
2The research of this author was partially supported by NSF grants DES-9980484 and DMS-0139927.
3The research of this author was partially supported by NSF grants ATM-0231781 and DMS-0139927
1
2a problem in finance, where a portfolio of stocks or other financial instruments changes
price over time, resulting in a time series of random vectors. The daily price change
vectors are each accumulations of a random number of random shocks. Price shocks are
typically heavy tailed with a tail parameter that is different for each stock [39]. Operator
stable models can handle the variations in tail behavior [33] while geometric stable models
[11,
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