Asymptotic expansions of densities of sums of random vectors without third moment
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.
Year of publication: |
2002
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---|---|
Authors: | Peng, Liang |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 58.2002, 2, p. 167-174
|
Publisher: |
Elsevier |
Keywords: | Asymptotic expansion Characteristic function Potter bounds Regular variation |
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