de Haan, Laurens F.M. Peng, Liang Pereira, H. Iglesias
Year of Publication:
Tinbergen Institute Discussion Paper 97-100/4
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 -> 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using penultimate approximations. Similar results are valid for other stable distributions.