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Inform. Primen., 2012, Volume 6, Issue 3, Pages 69–73 (Mi ia218)  

Papers to the reports presented at the XXIX International Seminar on Stability Problems for Stochastic Models (Svetlogorsk Kaliningrad region, Russia, 10–16 October 2011)

Estimates of the rate of convergence of the distributions of random sums to variance-gamma distributions

V. E. Beningab, L. M. Zaksc, V. Yu. Korolevba

a Institute for Problems of Informatics of RAS
b M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
c Department of Modeling and Mathematical Statistics, Alpha-Bank

Abstract: The estimates are constructed for the accuracy of the approximation of the distributions of special random sums of independent random variables with nonzero means by variance-gamma distributions.

Keywords: random sum; negative binomial distribution; gamma-distribution; convergence rate estimate; mixed Poisson distribution; variance-gamma distribution

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Document Type: Article

Citation: V. E. Bening, L. M. Zaks, V. Yu. Korolev, “Estimates of the rate of convergence of the distributions of random sums to variance-gamma distributions”, Inform. Primen., 6:3 (2012), 69–73

Citation in format AMSBIB
\Bibitem{BenZakKor12}
\by V.~E.~Bening, L.~M.~Zaks, V.~Yu.~Korolev
\paper Estimates of the rate of convergence of the distributions of random sums to variance-gamma distributions
\jour Inform. Primen.
\yr 2012
\vol 6
\issue 3
\pages 69--73
\mathnet{http://mi.mathnet.ru/ia218}


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