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Zapiski Nauchnykh Seminarov POMI, 2022, Volume 515, Pages 83–90
(Mi znsl7256)
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On the accuracy of infinitely divisible approximation of $n$-fold convolutions of probability distributions
Ya. S. Golikovaab, A. Yu. Zaitsevbc a Baltic State Technical University, St. Petersburg
b Saint Petersburg State University
c St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract:
Applying the results of Zaitsev (1987) to specific symmetric distributions with slowly decreasing power tails, we obtained power estimates for the accuracy of the infinitely divisible approximation of the distributions of sums of $n$ i.i.d. random variables of the form $O(n^{-1+\varepsilon})$ with $\varepsilon$ arbitrarily close to zero.
Key words and phrases:
sums of independent random variables, infinitely divisible and compound Poisson approximation, estimation of the rate of approximation, concentration functions, inequalities.
Received: 31.10.2022
Citation:
Ya. S. Golikova, A. Yu. Zaitsev, “On the accuracy of infinitely divisible approximation of $n$-fold convolutions of probability distributions”, Probability and statistics. Part 33, Zap. Nauchn. Sem. POMI, 515, POMI, St. Petersburg, 2022, 83–90
Linking options:
https://www.mathnet.ru/eng/znsl7256 https://www.mathnet.ru/eng/znsl/v515/p83
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Abstract page: | 101 | Full-text PDF : | 42 | References: | 21 |
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