Residential College | false |
Status | 已發表Published |
Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT | |
Chen,Peng1,2; Nourdin,Ivan3; Xu,Lihu1,2 | |
2020-03-29 | |
Source Publication | Journal of Theoretical Probability |
ISSN | 0894-9840 |
Volume | 34Issue:3Pages:1382-1407 |
Abstract | This paper is concerned with the Stein’s method associated with a (possibly) asymmetric α-stable distribution Z, in dimension one. More precisely, its goal is twofold. In the first part, we exhibit a bound for the Wasserstein distance between Z and any integrable random variable ξ, in terms of an operator that reduces to the classical fractional Laplacian in the symmetric case. Then, in the second part we apply the aforementioned bound to compute error rates in the stable central limit theorem, when the entries are in the domain D of normal attraction of a stable law of exponent α. To conclude, we study the specific case where the entries are Pareto-like multiplied by a slowly varying function, which provides an example of random variables that do not belong to D but for which our approach continues to apply. |
Keyword | Asymmetric Α-stable Distribution Fractional Laplacian Leave-one-out Approach Normal Attraction Stable Central Limit Theorem Stein’s Method |
DOI | 10.1007/s10959-020-01004-1 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000522189200001 |
Publisher | SPRINGER/PLENUM PUBLISHERS |
Scopus ID | 2-s2.0-85082971455 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Science and Technology DEPARTMENT OF MATHEMATICS |
Corresponding Author | Xu,Lihu |
Affiliation | 1.Department of Mathematics,Faculty of Science and Technology,University of Macau,Macao,Av. Padre Tomás Pereira,China 2.UM Zhuhai Research Institute,Zhuhai,China 3.Unite de Recherche en Mathematiques,Universite du Luxembourg,Esch-sur-Alzette,Maison du Nombre 6, avenue de la Fonte,4364,Luxembourg |
First Author Affilication | Faculty of Science and Technology |
Corresponding Author Affilication | Faculty of Science and Technology |
Recommended Citation GB/T 7714 | Chen,Peng,Nourdin,Ivan,Xu,Lihu. Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT[J]. Journal of Theoretical Probability, 2020, 34(3), 1382-1407. |
APA | Chen,Peng., Nourdin,Ivan., & Xu,Lihu (2020). Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT. Journal of Theoretical Probability, 34(3), 1382-1407. |
MLA | Chen,Peng,et al."Stein’s Method for Asymmetric α -stable Distributions, with Application to the Stable CLT".Journal of Theoretical Probability 34.3(2020):1382-1407. |
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