Smoothing effect of Compound Poisson approximation to distribution of weighted sums
Cekanavicius, Vydas · Elijio, Aiste
Original · EN
The accuracy of compound Poisson approximation to the sum S=w₁S₁+w₂S₂+...+wₙSₙ is estimated. Here Sᵢ are sums of independent or weakly dependent random variables, and wᵢ denote weights. The overall smoothing effect of S on wᵢSᵢ is estimated by L evy concentration function.
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