Nonnormal small jump approximation of infinitely divisible distributions

DOI10.1239/AAP/1418396239zbMATH Open1310.60013arXiv1304.6326OpenAlexW2964254455MaRDI QIDQ2939262FDOQ2939262

Authors: Zhiyi Chi 

Publication date: 19 January 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: We consider a type of nonnormal approximation of infinitely divisible distributions that incorporates compound Poisson, Gamma, and normal distributions. The approximation relies on achieving higher orders of cumulant matching, to obtain higher rates of approximation error decay. The parameters of the approximation are easy to fix. The computational complexity of random sampling of the approximating distribution in many cases is of the same order as normal approximation. Error bounds in terms of total variance distance are derived. Both the univariate and the multivariate cases of the approximation are considered.

Full work available at URL: https://arxiv.org/abs/1304.6326

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zbMATH Keywords

samplingnormal approximationinfinitely divisiblecompound Poisson approximationgamma approximationcumulant matching

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

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Cited In (2)

• Nonnormal small jump approximation of infinitely divisible distributions
• The asymptotics of the clustering transition for random constraint satisfaction problems

Uses Software

• Digital Library of Mathematical Functions

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