On two approaches to approximation of multidimensional stable laws

Authors:
Yu. Davydov;A. V. Nagaev
Affiliations:
Université des Sciences et Technologies de Lille, Villeneuve d'Ascq, France;Nicolaus Copernicus University, Toruń, Poland
Venue:
Journal of Multivariate Analysis
Year:
2002

Citing 3
Cited 2

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Approximation of multidimensional stable densities

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Multivariate stable distributions: approximation, estimation, simulation and identification

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Integral representations of one-dimensional projections for multivariate stable densities

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Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities

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Abstract

Each α-stable distribution can be approximated either by an α-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.