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Normal approximation for call function of m-dependent random variables with 2+δ-th moment

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  • Zhang, Ting
  • Tian, Lulu
  • Qi, Tianyi

Abstract

For the call function hk(x)=max{x−k,0} with some fixed k>0, we apply Stein’s method to give the upper bounds of normal approximation under the weaker moment condition, containing both uniform and non uniform situations. Specifically, we discuss a sum of m-dependent and identically distributed random variables with weaker (2+δ)-th moment for some δ∈(0,1). Our results enable the application in call function to possess a broader field with normal approximation techniques.

Suggested Citation

  • Zhang, Ting & Tian, Lulu & Qi, Tianyi, 2026. "Normal approximation for call function of m-dependent random variables with 2+δ-th moment," Statistics & Probability Letters, Elsevier, vol. 227(C).
    • Handle: RePEc:eee:stapro:v:227:y:2026:i:c:s0167715225001956
    DOI: 10.1016/j.spl.2025.110550
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