Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1997-10-01
Number: 97-100/4
Author-Name: Laurens F.M. de Haan
Author-Name: Liang Peng
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: H. Iglesias Pereira
Author-Workplace-Name: University of Lisbon
Title: Approximation by Penultimate Stable Laws
Abstract: In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by asequence of stable distributions with indices alpha_n 	o 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using penultimateapproximations. Similar results are valid for other stable distributions.
File-Url: https://papers.tinbergen.nl/97100.pdf
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Handle: RePEc:tin:wpaper:19970100