The rate of convergence to the normal law in terms of pseudomoments

DOI10.15559/15-VMSTA23zbMATH Open1349.60016arXiv1508.02832MaRDI QIDQ340762FDOQ340762

Authors: Yevheniya Munchak, Petro Slyusarchuk, Yuliya S. Mishura 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We establish the rate of convergence of distributions of sums of independent identically distributed random variables to the Gaussian distribution in terms of truncated pseudomoments by implementing the idea of Yu. Studnyev for getting estimates of the rate of convergence of the order higher than $n^{-1/2}$.

Full work available at URL: https://arxiv.org/abs/1508.02832

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zbMATH Keywords

rate of convergenceGaussian distributiontruncated pseudomoments

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05)

Cited In (6)

• Rate of convergence of option prices by using the method of pseudomoments
• General limit theorems with \({\mathfrak o}\)-rates and Markov processes under pseudo-moment conditions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets
• Estimation of the rate of convergence in the central limit theorem for a sequence of series in terms of averaged pseudomoments

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