Approximation to the stable law by Lindeberg principle

Abstract

By the Lindeberg principle, we develop in this paper an approximation to one dimensional (possibly) asymmetric $\alpha$-stable distributions with $\alpha \in (0,2)$ in the smooth Wasserstein distance. It is the first time that the general stable central limit theorem is proved by the Lindeberg principle, and that this theorem with $\alpha \in (0,1]$ is proved by a new method other than Fourier analysis. Our main tools are a Taylor-like expansion and a Kolmogorov forward equation.