Normal Variance Mixture Distributions as Approximations of Poisson Mixture Sums


By the central limit theorem and its generalisations, normal and - more generally - stable distributions turn up as weak limits of suitable scaled sums of i.i.d. random variables. When the number of summands is itself random... [ view full abstract ]


  1. Uwe Schmock (Technische Universit├Ąt Wien)
  2. Peter Eichelsbacher (Ruhr-Universitat Bochum)
  3. Piet Porkert (Technische Universit├Ąt Wien)

Topic Areas

Asymptotics , Stochastic Analysis


MO-P-SW » Stochastic Processes (14:30 - Monday, 16th July, Swift)

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