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On Two Aproaches to Approximation of Multidimensional Stable Laws

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  • Davydov, Yu.
  • Nagaev, A. V.

Abstract

Each [alpha]-stable distribution can be approximated either by an [alpha]-stable distribution with a discrete Poisson spectrum or by a sum of i.i.d. random vectors. Here we give results on the accuracy that can be achieved under both these ways of approximation. They are purely theoretical and aim to outline possible direction of further investigations.

Suggested Citation

  • Davydov, Yu. & Nagaev, A. V., 2002. "On Two Aproaches to Approximation of Multidimensional Stable Laws," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 210-239, July.
    • Handle: RePEc:eee:jmvana:v:82:y:2002:i:1:p:210-239
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    References listed on IDEAS

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    1. Byczkowski, T. & Nolan, J. P. & Rajput, B., 1993. "Approximation of Multidimensional Stable Densities," Journal of Multivariate Analysis, Elsevier, vol. 46(1), pages 13-31, July.
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    Cited by:

    1. Matsui, Muneya & Takemura, Akimichi, 2009. "Integral representations of one-dimensional projections for multivariate stable densities," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 334-344, March.
    2. Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.

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