Expansions for the Distributions of Some Normalized Summations of Random Numbers of I.I.D. Random Variables

被引：0
|
作者：
Nan Wang
Wei Liu
机构：
[1] University of Southampton,Department of Social Statistics
[2] University of Central Florida,Department of Statistics
[3] University of Southampton,Department of Mathematics
来源：
Annals of the Institute of Statistical Mathematics | 2002年 / 54卷
关键词：
Central limit theorem; expansion of a tail probability; martingale; renewal theory; sequential analysis; stopping time; Wald's lemma;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The central limit theorem for a normalized summation of random number of i.i.d. random variables is well known. In this paper we improve the central limit theorem by providing a two-term expansion for the distribution when the random number is the first time that a simple random walk exceeds a given level. Some numerical evidences are provided to show that this expansion is more accurate than the simple normality approximation for a specific problem considered.
引用
收藏
页码：114 / 124
页数：10
相关论文
共 50 条
12345