Let Z(t) = Σj=1N(t)Xj, t ≥ 0, be a stochastic process, where Xj are independent identically distributed random variables, and N(t) is non-negative integer-valued process with independent increments. Throughout, we assume that N(t) and Xj are independent. The paper considers normal approximation to the distribution of properly centered and normed random variable Zδ =∫0∞e- δtdZ(t), δ > 0, taking into consideration large deviations both in the Cramér zone and the power Linnik zones. Also, we obtain a nonuniform estimate in the Berry–Essen inequality.
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