Asymptotic expansion of the distribution function of a random variable with regular behavior of cumulants

DOI10.1007/BF02350364MaRDI QIDQ1925176zbMATH OpenOpenAlexFDO

Authors Leonas Saulis

Publication date 29 October 1996

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02350364

zbMATH Keywords

cumulantmoment generating function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20)

Review text

Let \(\xi\) be a random variable such that \(E \xi = 0\) and \(E \xi^2 = 1\). Let \(\varphi_\xi (z)=E \exp (z\xi)\) denote the moment generating function of \(\xi\) and let \(\Gamma_k (\xi)\) be its \(k\) th-order cumulant. Assume that there exist constants \(\gamma \geq 0\) and \(\Delta > 0\) such that \(|\Gamma_k (\xi) |\leq (k!)^{1+ \gamma}/ \Delta^{k-2}\), \(k=3,4, \dots\). The author presents an expansion of the distribution function of the random variable \(\xi\).

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• scientific article; zbMATH DE number 3629949 (Why is no real title available?)
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(5)

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• From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable
• Quasicumulants and limit theorems in case of the Cauchy limiting law

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