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Approximation by Penultimate Stable Laws

In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by a sequence of stable distributions with indices \alpha_n \to 2 than by a normal distribution. We discuss when this happens and how much the convergence rate can be improved by using penultimate approximations. Similar results are valid for other stable distributions.
Year of publication:
1997-10-01
Authors: Haan, Laurens F.M. de ; Peng, Liang ; Pereira, H. Iglesias
Institutions: Tinbergen Institute
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 97-100/4
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Persistent link: https://www.econbiz.de/10005281674
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