Corrections to the Central Limit Theorem for Heavy-tailed Probability Densities

Corrections to the Central Limit Theorem for Heavy-tailed Probability Densities

Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given by a standard Edgeworth expansion in the general case of regu...

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Bibliographic Details
Main Authors: Lam, Henry, Blanchet, Jose, Burch, Damian, Bazant, Martin Z.
Other Authors: Massachusetts Institute of Technology. Department of Chemical Engineering
Format: Article
Language:en_US
Published: Springer-Verlag 2013
Online Access:http://hdl.handle.net/1721.1/77920

Internet

http://hdl.handle.net/1721.1/77920

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