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Computer investigation of the Rate of Convergence of Lepage Type Series to agr-Stable Random Variables 

Authors: Aleksander Janicki a; Piotr Kokoszka a
Affiliation:   a Institute of Mathematics, Technical University, Wroclstrokaw, Poland
DOI: 10.1080/02331889208802383
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 23, Issue 4 1992 , pages 365 - 373
Formats available: PDF (English)
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Abstract

The aim of the paper is to present the results of computer experiments that allowed us to investigate some of the properties of LePage series representations of agr-stable random variables and to check their usefulness to computer simulation of Leacutevy motion. We base our study on the explicitly obtained formula for the expectation ./GSTA_A_8802383_O_XML_IMAGES/GSTA_A_8802383_O_ILM0001.gif , where ./GSTA_A_8802383_O_XML_IMAGES/GSTA_A_8802383_O_ILM0002.gif , with τj's denoting the arrival times of a Poisson process and ./GSTA_A_8802383_O_XML_IMAGES/GSTA_A_8802383_O_ILM0003.gif  appropriately chosen discrete random variables, and where X denotes an a.s. limit of the sequence lcubXnrcub. We conclude that as far as computer simulations are concerned the sums Xn are not the most suitable means of approximation of X.
Keywords: Stable random variables; LePage series representations; computer simulations of random variables and processes
AMS 1980 subject classification: Primary 62E10; secondary 65U05
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