1997-09-04
Approximation by Penultimate Stable Laws
Publication
Publication
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 \\alpha_n \\to 2 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.
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| hdl.handle.net/1765/7793 | |
| Tinbergen Institute Discussion Paper Series | |
| Organisation | Tinbergen Institute |
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de Haan, L.F.M, Peng, L, & Iglesias Pereira, H. (1997). Approximation by Penultimate Stable Laws (No. TI 97-100/4). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7793
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