Approximations of the cumulative distribution function for infinite weighted sum of random variables

DOI10.1016/J.SPL.2019.108567MaRDI QIDQ2273733zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 25 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108567

zbMATH Keywords

random walkBrownian motionlinear processinfinite sumstochastic integraltruncated two-term approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Recommendations

• scientific article; zbMATH DE number 4020435
• Approximated distributions of the weighted sum of correlated chi-squared random variables
• Distribution and moments of the weighted sum of uniforms random variables, with applications in reducing monte carlo simulations
• Approximations to the distribution of weighted combination of independent probabilities
• Compound Poisson approximation to weighted sums of symmetric discrete variables

Cites work

• scientific article; zbMATH DE number 3647917 (Why is no real title available?)
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 735225 (Why is no real title available?)
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• A General Approximation to the Distribution of Instrumental Variables Estimates
• A Test of Goodness of Fit
• A series expansion of fractional Brownian motion
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Goodness-of-fit tests for probability distributions and spectral distributions
• Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables.
• On Goodness of Fit for Operational Risk
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations in Statistics
• Saddlepoint Approximations with Applications
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Tail Probability Approximations
• Time series: theory and methods.
• Weighted sums of subexponential random variables and their maxima

Cited in

(5)

• Approximating a Cumulative Distribution Function by Generalized Hyperexponential Distributions
• Approximated distributions of the weighted sum of correlated chi-squared random variables
• Cornish-Fisher expansions for functionals of the weighted partial sum empirical distribution
• Technical note -- On matrix exponential differentiation with application to weighted sum distributions
• A comparison of efficient approximations for a weighted sum of chi-squared random variables

Describes a project that uses

Uses Software

• R

This page was built for publication: Approximations of the cumulative distribution function for infinite weighted sum of random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2273733)