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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 PublicationJournal of Theoretical Probability
ISSN0894-9840
Volume34Issue: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.

KeywordAsymmetric Α-stable Distribution Fractional Laplacian Leave-one-out Approach Normal Attraction Stable Central Limit Theorem Stein’s Method
DOI10.1007/s10959-020-01004-1
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000522189200001
PublisherSPRINGER/PLENUM PUBLISHERS
Scopus ID2-s2.0-85082971455
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Citation statistics
Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorXu,Lihu
Affiliation1.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 AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty 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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