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de Haan, Laurens F.M.
Peng, Liang
Pereira, H. Iglesias
Year of Publication: 
Series/Report no.: 
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.
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Working Paper

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