Esscher Transform and the Central Limit Theorem
arXiv:2407.20726
Abstract
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.