Natural estimates of the accuracy of approximation of the distributions of random sums by location mixtures of stable laws (Q1781710)
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English | Natural estimates of the accuracy of approximation of the distributions of random sums by location mixtures of stable laws |
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Natural estimates of the accuracy of approximation of the distributions of random sums by location mixtures of stable laws (English)
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28 June 2005
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The authors construct several estimates of the rate of convergence in the following theorem and special case of it: Let \(S_{N_n}:=\sum_{i=1}^{N_n}X_i\) and \(Z_n:=(S_{N_n}-an)/b(n)n^{1/\alpha},\) where \(N_n\) are integer-valued, nonnegative random variables independent of i.i.d. r.v. \(X_n, \quad n=1,2,3,\dots,\) \(b(n)\) is a slowly varying function and \(\alpha \in (1,2].\) Let also \[ N_n\to^{\text P}_{n\to+\infty}+\infty\text{ and }\left.\left(\sum_{j=1}^nX_j-na\right)\right/b(n)n^{1/\alpha}\to_{n\to+\infty}^{\text{weakly}}Y_{\alpha}, \] where \(Y_{\alpha}\) has distribution function \(G_{\alpha}(x), a\in R.\) Then \(Z_n\to^{\text{weakly}}_{n\to+\infty}Z\) iff there exists a random variable \(V\) such that \(Z=^{d}Y_{\alpha}+V,\) the random variables on the latter right-hand side are independent and \(a(N_n-n)/b(n)n^{1/\alpha}\to^{\text{weakly}}_{n\to+\infty} V.\) Some alternative approximations of one-dimensional distributions of random sums are considered. The rate of convergence is considered in terms of probability metrics that metrize weak convergence.
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weak convergence
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probability metrics
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L\(\acute e\)vy distance
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