Esscher Transform and the Central Limit Theorem
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866917737422389248 |
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| author | Bobkov, Sergey Götze, Friedrich |
| author_facet | Bobkov, Sergey Götze, Friedrich |
| contents | The paper is devoted to the investigation of Esscher's transform on high dimensional Euclidean spaces in the light of its application to the central limit theorem. With this tool, we explore necessary and sufficient conditions of normal approximation for normalized sums of i.i.d. random vectors in terms of the Rényi divergence of infinite order, extending recent one dimensional results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_20726 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Esscher Transform and the Central Limit Theorem Bobkov, Sergey Götze, Friedrich Probability 60E 60F The paper is devoted to the investigation of Esscher's transform on high dimensional Euclidean spaces in the light of its application to the central limit theorem. With this tool, we explore necessary and sufficient conditions of normal approximation for normalized sums of i.i.d. random vectors in terms of the Rényi divergence of infinite order, extending recent one dimensional results. |
| title | Esscher Transform and the Central Limit Theorem |
| topic | Probability 60E 60F |
| url | https://arxiv.org/abs/2407.20726 |