On Some Asymptotic Properties and an Almost Sure Approximation of the Normalized Inverse-Gaussian Process
Luai Al Labadi, Mahmoud Zarepour · arXiv (Cornell University) · 2012
In this paper, we present some asymptotic properties of the normalized inverse-Gaussian process. In particular, when the concentration parameter is large, we establish an analogue of the empirical functional central limit theorem, the strong law of large numbers and the Glivenko-Cantelli theorem for the normalized inverse-Gaussian process and its corresponding quantile process. We also derive a finite sum-representation that converges almost surely to the Ferguson and Klass representation of the normalized inverse-Gaussian process. This almost sure approximation can be used to simulate efficiently the normalized inverse-Gaussian process.