Approximations to weighted sums of random variables

DOI10.1007/S40840-021-01077-ZzbMATH Open1472.62030arXiv2006.14283OpenAlexW3121491069WikidataQ114218452 ScholiaQ114218452MaRDI QIDQ2045271FDOQ2045271

Amit N. Kumar

Publication date: 12 August 2021

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Abstract: In this paper, we obtain error bound for binomial and negative binomial approximations to weighted sums of locally dependent random variables, using Stein's method. We also discuss approximation results for weighted sums of independent random variables. We demonstrate our results through some applications in finance and runs in statistics.

Full work available at URL: https://arxiv.org/abs/2006.14283

zbMATH Keywords

error boundsStein's methodlocally dependent random variablespseudo-binomial and negative binomial approximations

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cited In (8)

• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Acknowledgement of priority: ``Weighted averages of random variables and exact weights
• Bounds on negative binomial approximation to call function
• Strong Approximations of Weighted Sums of Random Variables
• Title not available (Why is that?)
• Binomial approximation to locally dependent collateralized debt obligations
• Asymptotics for Weighted Random Sums
• Approximations to the distribution of weighted combination of independent probabilities

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