Normal Variance Mixture Distributions as Approximations of Poisson Mixture Sums
Abstract
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 ]
Authors
- Uwe Schmock (Technische Universität Wien)
- Peter Eichelsbacher (Ruhr-Universitat Bochum)
- Piet Porkert (Technische Universität Wien)
Topic Areas
Asymptotics , Stochastic Analysis
Session
MO-P-SW » Stochastic Processes (14:30 - Monday, 16th July, Swift)
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