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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
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.
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
Linking options:
https://www.mathnet.ru/eng/ia277 https://www.mathnet.ru/eng/ia/v7/i3/p102
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