Asymptotic expansions of densities of sums of random vectors without third moment

Liang Peng

Statistics & Probability Letters, 2002, vol. 58, issue 2, 167-174

Abstract: Asymptotic expansions of densities of the normalized sums of random vectors with at least finite third moment have been studied extensively (Normal Approximation and Asymptotic expansions. Wiley, New York.). In this note, we obtain the asymptotic expansions of densities of the normalized sums of i.i.d. random vectors with regularly varying density with index between 4 and 5, which implies that third moment is infinite.

Keywords: Asymptotic; expansion; Characteristic; function; Potter; bounds; Regular; variation (search for similar items in EconPapers)
Date: 2002
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