Haan, Laurens F.M. de; Peng, Liang; Pereira, H. Iglesias - Tinbergen Institute - 1997
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...