Fractional Edgeworth expansion: Corrections to the Gaussian-Lévy central-limit theorem

Phys Rev E Stat Nonlin Soft Matter Phys. 2015 May;91(5):052124. doi: 10.1103/PhysRevE.91.052124. Epub 2015 May 14.

Abstract

In this article we generalize the classical Edgeworth expansion for the probability density function (PDF) of sums of a finite number of symmetric independent identically distributed random variables with a finite variance to PDFs with a diverging variance, which converge to a Lévy α-stable density function. Our correction may be written by means of a series of fractional derivatives of the Lévy and the conjugate Lévy PDFs. This series expansion is general and applies also to the Gaussian regime. To describe the terms in the series expansion, we introduce a new family of special functions and briefly discuss their properties. We implement our generalization to the distribution of the momentum for atoms undergoing Sisyphus cooling, and show the improvement of our leading order approximation compared to previous approximations. In vicinity of the transition between Lévy and Gauss behaviors, convergence to asymptotic results slows down.