Approximation by Penultimate Stable Laws

In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by asequence of stable distributions with indices alpha n -> 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using penultimate approximations. Similar results are valid for other stable distributions.

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Year of publication:	1997
Authors:	de Haan, Laurens F.M. ; Peng, Liang ; Pereira, H. Iglesias
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Wahrscheinlichkeitsrechnung \| Theorie

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Series:	Tinbergen Institute Discussion Paper ; 97-100/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	783142773 [GVK] hdl:10419/85545 [Handle] RePEc:dgr:uvatin:19970100 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324520