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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 19, Fasc. 1,
pages 105 - 121
 

APPROXIMATION BY PENULTIMATE STABLE LAWS

L. De Haan
L. Peng
H. Iglesias Pereira

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

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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