Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables

DOI10.1016/J.SPA.2011.10.012MaRDI QIDQ765880zbMATH OpenOpenAlexFDO

Authors Mark S. Veillette, Murad S. Taqqu

Publication date 22 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.3948

zbMATH Keywords

infinitely divisible distributionsEdgeworth expansionsRosenblatt distributionBerry-Esseen

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Central limit and other weak theorems (60F05) Distribution theory (60E99)

Abstract: Consider the sum $Z=su{m}_{n=1}^{i}nftylambd{a}_n(et{a}_n-mathbbEet{a}_n)$, where $et{a}_n$ are i.i.d.~gamma random variables with shape parameter $r>0$, and the $lambd{a}_n$'s are predetermined weights. We study the asymptotic behavior of the tail $su{m}_{n=M}^{i}nftylambd{a}_n(et{a}_n-mathbbEet{a}_n)$ which is asymptotically normal under certain conditions. We derive a Berry-Essen bound and Edgeworth expansions for its distribution function. We illustrate the effectiveness of these expansions on an infinite sum of weighted chi-squared distributions.

Recommendations

• Extended classical asymptotic expansions in the case of Gaussian limit distribution
• scientific article; zbMATH DE number 4024401
• scientific article; zbMATH DE number 218854
• The law of the iterated logarithm of random weighting approximation for mean error -- non. I.I.D. situation
• Tail probabilities for weighted sums of products of normal random variables

Cites work

• scientific article; zbMATH DE number 3171470 (Why is no real title available?)
• scientific article; zbMATH DE number 5292192 (Why is no real title available?)
• scientific article; zbMATH DE number 2031102 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
• Approximations of small jumps of Lévy processes with a view towards simulation
• Distribution of a sum of weighted noncentral chi-square variables
• Introduction to stochastic integration.
• Lévy Processes and Stochastic Calculus
• Non-central limit theorems for non-linear functional of Gaussian fields
• Normal and poisson approximation of infinitely divisible distribution functions
• Normal approximation and asymptotic expansions.
• Probability: A Graduate Course
• Properties and numerical evaluation of the Rosenblatt distribution
• Storage capacity of a dam with gamma type inputs
• The Fourier-series method for inverting transforms of probability distributions
• The distribution of the sum of independent gamma random variables
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation

Cited in

(4)

• Properties and numerical evaluation of the Rosenblatt distribution
• Nonnormal small jump approximation of infinitely divisible distributions
• Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem
• Rosenblatt Laplace motion

This page was built for publication: Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q765880)