On Two Aproaches to Approximation of Multidimensional Stable Laws

Each [alpha]-stable distribution can be approximated either by an [alpha]-stable distribution with a discrete Poisson spectrum or by a sum of i.i.d. random vectors. Here we give results on the accuracy that can be achieved under both these ways of approximation. They are purely theoretical and aim to outline possible direction of further investigations.

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Year of publication:	2002
Authors:	Davydov, Yu. ; Nagaev, A. V.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 82.2002, 1, p. 210-239
Publisher:	Elsevier
Keywords:	convergence in variation weak convergence Poisson spectral measure Prokhorov distance series representation of a stable vector

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

Persistent link: https://www.econbiz.de/10005199810