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

DOI10.1016/J.SPA.2011.10.012zbMATH Open1236.60027arXiv1010.3948OpenAlexW2051588656MaRDI QIDQ765880FDOQ765880

Authors: Mark S. Veillette, Murad S. Taqqu 

Publication date: 22 March 2012

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

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.

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

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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)

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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

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