Work

Approximations Related to Tempered Stable Distributions

Year: 2024

Type: preprint

Abstract: In this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution and also an error bound between a tempered stable and an alpha stable distribution via Stein method. For the smooth Wasserstein distance, an error bound between two tempered stable distributions is also derived. As examples, we discuss the approximation of a tempered stable to normal and variance gamma distributions. As corollaries, the corresponding limit theorem follows

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2408.09487

Authors: Burman, Kalyan, Upadhye, Neelesh S, Vellaisamy, Palaniappan

Institutions: Indian Institute of Technology Madras, University of California, Santa Barbara

Language: English

Topic: Probability and Statistical Research

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W4402502189

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