Let Xi be non-degenerate i.i.d. random variables with distribution function F, and let Xn1,...,Xnn denote the order statistics of X1,...,Xn. In trying to robustify the sample mean as an estimator of location, several alternatives have been suggested which have the intuitive appeal of being less...

We give a necessary and sufficient condition for a d-dimensional Lévy process to be in the matrix normalized domain of attraction of a d-dimensional normal random vector, as t↓0. This transfers to the Lévy case classical results of Feller, Khinchin, Lévy and Hahn and Klass for random walks....

This paper proposes two related approximation schemes, based on a discrete grid on a finite time interval [0,T], and having a finite number of states, for a pure jump Lévy process Lt. The sequences of discrete processes converge to the original process, as the time interval becomes finer and...