The rate of convergence to a stable law for the random sum of iid random variables

  • Marcin Kotulski
Part of the Lecture Notes in Statistics book series (LNS, volume 127)


We investigate, using Monte Carlo method, the rate of convergence to asymptotic distribution for the random sum of iid random variables, known in statistical physics as Continuous-Time Random Walk (CTRW). The rate of convergence, estimated from the simulation, is in agreement with theory. Simulated densities are compared with the limiting Lévy-stable densities.


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Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • Marcin Kotulski
    • 1
  1. 1.Hugo Steinhaus Center for Stochastic MethodsTechnical University of WroclawWroclawPoland

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