Approximations to Weighted Sums of Random Variables

2020/06/25 by Kumar, Amit N.
#60E05 #62E20 #FOS: Mathematics #Primary: 62E17 #Probability (math.PR) #Secondary: 60F05

paper · doi:10.48550/arxiv.2006.14283

Abstract

In this paper, we obtain error bound for binomial and negative binomial approximations to weighted sums of locally dependent random variables, using Stein's method. We also discuss approximation results for weighted sums of independent random variables. We demonstrate our results through some applications in finance and runs in statistics.

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