Asymptotics of sums of lognormal random variables with Gaussian copula

Let (Y1,...,Yn) have a joint n-dimensional Gaussian distribution with a general mean vector and a general covariance matrix, and let , Sn=X1+...+Xn. The asymptotics of as n-->[infinity] are shown to be the same as for the independent case with the same lognormal marginals. In particular, for identical marginals it holds that no matter what the correlation structure is.

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Year of publication:	2008
Authors:	Asmussen, Søren ; Rojas-Nandayapa, Leonardo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 16, p. 2709-2714
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074701