Weiner Process

arrun · December 29th, 2006, 3:18 pm

Dear all Statisticians, Please forgive me if my question is too trivial. I know a process z[t] is said to be a Weiner Process if dz[t] ~ N(0, dt). But if dz[t] follows some other distribution like, T-distribution. Skew-Normal distribution etc, then how this process should be called? Thanks and regards,

sanjaysivakumar · January 2nd, 2007, 7:55 am

basically Z[t] comes from random walk. And follows normal according to the Central limit theorem(CLT). As per as my knowledge there is no theorem which talk about the convergence of T - DISTRIBUTION.

amitbatra · January 10th, 2007, 10:29 am

Z(t) results from sum of independent identical distributions that converges to normal distribution in accordance with the central limit theorem.-----Amit Batra