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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 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.
Year of publication:
1997-10-01
Authors: Haan, Laurens F.M. de ; Peng, Liang ; Pereira, H. Iglesias
Institutions: Tinbergen Instituut
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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/10011255967
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