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Informatika i Ee Primeneniya [Informatics and its Applications], 2013, Volume 7, Issue 3, Pages 102–105
DOI: https://doi.org/10.14357/19922264130311
(Mi ia277)
 

Estimates of the rate of convergence of the distributions of some random sums to stable laws

V. Yu. Korolevab, L. M. Zaksc

a IPI RAN
b Faculty of Computational Mathematics and Cybernetics, M. V. Lomonosov Moscow State University
c Department of Modeling and Mathematical Statistics, Alpha-Bank
References:
Abstract: Estimates are presented for the rate of convergence of the distributions of special sums of independent identically distributed random variables with finite variances to symmetric strictly stable laws. The distribution of the random index is assumed to be mixed Poisson in which the mixing distribution is a stable law concentrated on the positive half-line. The absolute constants are written out explicitly.
Keywords: stable distribution; Berry–Esseen inequality; random sum; doubly stochastic Poisson process (Cox process); mixed Poisson distribution.
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Document Type: Article
Language: Russian
Citation: V. Yu. Korolev, L. M. Zaks, “Estimates of the rate of convergence of the distributions of some random sums to stable laws”, Inform. Primen., 7:3 (2013), 102–105
Citation in format AMSBIB
\Bibitem{KorZak13}
\by V.~Yu.~Korolev, L.~M.~Zaks
\paper Estimates of the rate of convergence of the distributions of some random sums to stable laws
\jour Inform. Primen.
\yr 2013
\vol 7
\issue 3
\pages 102--105
\mathnet{http://mi.mathnet.ru/ia277}
\crossref{https://doi.org/10.14357/19922264130311}
\elib{https://elibrary.ru/item.asp?id=20446810}
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