Limit theorems for sums of random variables with mixture distribution

Vladimir Panov

Statistics & Probability Letters, 2017, vol. 129, issue C, 379-386

Abstract: In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level depend on the number of summands. The aim of this research is to characterize the limiting distributions of the sums due to various relations between these parameters.

Keywords: Mixture distribution; Central limit theorem; Stable distribution; Phase transition (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.06.017

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