On the dependence of the Berry-Esseen bound on dimension (Q1873081): Difference between revisions

The Berry-Esseen type bound is provided. Let \(X\) be a random vector with values in \(\mathbb{R}^d\) with zero mean and identity covariance. Put \(\beta= E|X|^3\). Let \(S_n\) be a normalized sum of \(n\) independent copies of \(X\) and \(\Delta_n= \sup_{A\in C}|P\{S_n\in A\}- v(A)|\), where \(C\) is the class of convex subsets of \(\mathbb{R}^d\) and \(v\) is the standard \(d\)-dimensional normal distribution. The author obtains a bound \(\Delta_n\leq 400 d^{1/4}\beta/\sqrt{n}\). This bound raises an interesting open question whether the bound depending on \(d\) is optimal.