Corrections to the central limit theorem for heavy-tailed probability densities

DOI10.1007/s10959-011-0379-yzbMath1234.60028arXiv1103.4306OpenAlexW2062428776WikidataQ108166510 ScholiaQ108166510MaRDI QIDQ662876

Damian Burch, Henry Lam, Martin Z. Bazant, Jose H. Blanchet

Publication date: 13 February 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.4306

zbMATH Keywords

regular variationcentral limit theoremlarge deviationsEdgeworth expansionheavy tailpower law

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10)

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Uses Software

• OpenCourseWare

Cites Work

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• Complete corrected diffusion approximations for the maximum of a random walk
• Probabilities of Large Deviations of Sums of Independent Random Variables with Common Distribution Function in the Domain of Attraction of the Normal Law
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Refined Large Deviation Limit Theorems
• The bootstrap and Edgeworth expansion
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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