Exact Rates of Convergence to a Stable Law |
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Authors: | de Haan L; Peng L |
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Institution: | Econometric Institute, Erasmus University Rotterdam PO Box 1738, 3000 DR Rotterdam, Netherlands |
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Abstract: | Let F be a non-lattice distribution function which lies in thedomain of attraction of a non-normal stable distribution. Exactuniform convergence rates are obtained for the convergence ofthe normalised partial sums of random variables with distributionF. Second order regular variation conditions are assumed relatedto the domain of attraction conditions. |
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