Approximation by Penultimate Stable Laws

Laurens F.M. de Haan, Liang Peng and H. Iglesias Pereira
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Liang Peng: Erasmus University Rotterdam
H. Iglesias Pereira: University of Lisbon

No 97-100/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by asequence of stable distributions with indices alpha_n o 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using penultimateapproximations. Similar results are valid for other stable distributions.

Date: 1997-10-01
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