scientific article; zbMATH DE number 1323352

MaRDI QIDQ4255180zbMATH OpenFDO

Authors Sergei Nagaev

Publication date 10 August 1999

zbMATH Keywords

estimate of errorlarge deviationsstable law

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Large deviations (60F10)

Review text

The problem of approximation by a stable law may be formulated as follows: for a given distribution function \(F\) and a given \(n\) find a stable law \(V_{n}(x)\) such that \[ \sup_{x}| F^{*n}(x)-V_{n}(x)| =\inf_{\{V\}}\sup_{x}| F^{*n}-V(x)|, \] where \(\{V\}\) is the set of all stable laws. The author deals with the following distance: \[ \Delta_{n}:=\sup_{x}| F^{*n}(x)-V^{*n}(x)| , \] where \(V\) is an arbitrary stable law. Estimate of error \(\Delta_{n}\) of approximation by a stable law is given.

Cited in

(4)

• Error estimate for uniform approximation by Lagrange-Sturm-Liouville processes
• Approximation to stable law by the Lindeberg principle
• Strong Approximations for Partial Sums of Random Variables Attracted to a Stable Law
• scientific article; zbMATH DE number 868182 (Why is no real title available?)

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