On Two Aproaches to Approximation of Multidimensional Stable Laws

Yu. Davydov and A. V. Nagaev

Journal of Multivariate Analysis, 2002, vol. 82, issue 1, 210-239

Abstract: Each [alpha]-stable distribution can be approximated either by an [alpha]-stable distribution with a discrete Poisson spectrum or by a sum of i.i.d. random vectors. Here we give results on the accuracy that can be achieved under both these ways of approximation. They are purely theoretical and aim to outline possible direction of further investigations.

Keywords: convergence; in; variation; weak; convergence; Poisson; spectral; measure; Prokhorov; distance; series; representation; of; a; stable; vector (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(01)92014-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:82:y:2002:i:1:p:210-239

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().