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Bounds for the Rate of Convergence in the Generalized Rényi Theorem

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  • Victor Korolev

    (Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, 119991 Moscow, Russia
    Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 119333 Moscow, Russia
    Moscow Center for Fundamental and Applied Mathematics, 119991 Moscow, Russia
    Department of Mathematics, School of Science, Hangzhou Dianzi University, Hangzhou 310018, China)

Abstract

In the paper, an overview is presented of the results on the convergence rate bounds in limit theorems concerning geometric random sums and their generalizations to mixed Poisson random sums, including the case where the mixing law is itself a mixed exponential distribution. The main focus is on the upper bounds for the Zolotarev ζ -metric as the distance between the pre-limit and limit laws. New results are presented that extend existing estimates of the rate of convergence of geometric random sums (in the well-known Rényi theorem) to a considerably more general class of random indices whose distributions are mixed Poisson, including generalized negative binomial (e.g., Weibull-mixed Poisson), Pareto-type (Lomax)-mixed Poisson, exponential power-mixed Poisson, Mittag-Leffler-mixed Poisson, and one-sided Linnik-mixed Poisson distributions. A transfer theorem is proven that makes it possible to obtain upper bounds for the rate of convergence in the law of large numbers for mixed Poisson random sums with mixed exponential mixing distribution from those for geometric random sums (that is, from the convergence rate estimates in the Rényi theorem). Simple explicit bounds are obtained for ζ -metrics of the first and second orders. An estimate is obtained for the stability of representation of the Mittag-Leffler distribution as a geometric convolution (that is, as the distribution of a geometric random sum).

Suggested Citation

  • Victor Korolev, 2022. "Bounds for the Rate of Convergence in the Generalized Rényi Theorem," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
  • Handle: RePEc:gam:jmathe:v:10:y:2022:i:22:p:4252-:d:971706
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    References listed on IDEAS

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    1. Grandell, Jan, 2000. "Simple approximations of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 157-173, May.
    2. Kozubowski, Tomasz J., 1998. "Mixture representation of Linnik distribution revisited," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 157-160, June.
    3. Victor Korolev, 2020. "Some Properties of Univariate and Multivariate Exponential Power Distributions and Related Topics," Mathematics, MDPI, vol. 8(11), pages 1-27, November.
    4. Irina Shevtsova & Mikhail Tselishchev, 2020. "A Generalized Equilibrium Transform with Application to Error Bounds in the Rényi Theorem with No Support Constraints," Mathematics, MDPI, vol. 8(4), pages 1-21, April.
    5. Korolev, Victor & Zeifman, Alexander, 2021. "Bounds for convergence rate in laws of large numbers for mixed Poisson random sums," Statistics & Probability Letters, Elsevier, vol. 168(C).
    6. Victor Korolev & Andrey Gorshenin, 2020. "Probability Models and Statistical Tests for Extreme Precipitation Based on Generalized Negative Binomial Distributions," Mathematics, MDPI, vol. 8(4), pages 1-30, April.
    7. Yury Khokhlov & Victor Korolev & Alexander Zeifman, 2020. "Multivariate Scale-Mixed Stable Distributions and Related Limit Theorems," Mathematics, MDPI, vol. 8(5), pages 1-29, May.
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