RUS  ENG
Full version
JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2022 Volume 515, Pages 83–90 (Mi znsl7256)

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.

UDC: 519.2

Received: 31.10.2022



© Steklov Math. Inst. of RAS, 2024