Bounds for the accuracy of Poissonian approximations of stable laws (Q1382469)
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English | Bounds for the accuracy of Poissonian approximations of stable laws |
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Bounds for the accuracy of Poissonian approximations of stable laws (English)
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29 March 1998
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Stable laws \(G_{\alpha }\) admit a well-known series representation of the type \[ G_{\alpha } = {\mathcal L} \;\Big (\sum ^{\infty }_{j=1} \Gamma _1^{-1/\alpha } X_j\Big ), \quad 0 < \alpha <2, \] where \(\Gamma _1, \Gamma _2,\ldots \) are the successive times of jumps of a standard Poisson process and \(X_1,X_2,\ldots \), denote i.i.d.\ random variables, independent of \(\Gamma _1,\Gamma _2,\ldots .\) We investigate the rate of approximation of \(G_{\alpha }\) by distributions of partial sums \(S_n = \sum ^n_{j=1} \Gamma ^{-1/\alpha }_j X_j\), and we obtain (asymptotically) optimal bounds for the variation of \(G_{\alpha } - {\mathcal L} \;(S_n)\). These results complement and improve results of A. Janicki and P. Kokoszka, and M. Ledoux and V. Paulauskas. Bounds for the concentration function of \(S_n\) are also proved.
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stable laws
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Poissonian representation
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convergence in variation
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convergence rates
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Berry-Esseen bounds
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concentration function
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