Explicit rates of approximation in the CLT for quadratic forms (Q2438752): Difference between revisions

Let \(X,X_1,X_2,\dots\) be i.i.d. \(\mathbb{R}^d\)-valued random vectors with mean zero. Here, \(\mathbb{R}^d\) is equipped with the scalar product \(\langle x,y\rangle=x_1y_1+\cdots+x_dy_d\). The authors consider the central limit theorem for the quadratic form \[ \mathbb{Q}[S_N]=\langle \mathbb{Q}S_N,S_N \rangle\,, \] where \(\mathbb{Q}:\mathbb{R}^d\mapsto\mathbb{R}^d\) is a linear symmetric bounded operator and \(S_N=N^{-1/2}(X_1+\cdots+X_N)\). Define the distribution functions \(F_a(x)=\operatorname{P}(\mathbb{Q}[S_N-a]\leq x)\) and \(H_a(x)=\operatorname{P}(\mathbb{Q}[G-a]\leq x)\), where \(G\) is a mean zero Gaussian random vector with the same covariance operator as that of \(X\). The main result of the paper is an explicit bound on \[ \sup_{x\in\mathbb{R}}\left| F_a(x)-H_a(x)-E_a(x) \right|\,, \] where \(E_a(x)\) is the Edgeworth correction. This bound applies to dimensions \(5\leq d<\infty\) and gives, in particular, that \[ \Delta_N=\sup_{x\in\mathbb{R}}\left| \operatorname{P}(\mathbb{Q}[S_N]\leq x)-\operatorname{P}(\mathbb{Q}[G]\leq x) \right|=\mathcal{O}(N^{-1})\,, \] provided that the fourth moment of \(X\) exists. These results generalise and improve several earlier results, by extending the range of \(d\) for which they may be applied and by improving the bounds obtained. The dimension condition \(d\geq5\) is the best possible for which we have \(\Delta_N=\mathcal{O}(N^{-1})\). The authors also give bounds on the concentration function \[ \sup_{a\in\mathbb{R}^d,x\in\mathbb{R}}\operatorname{P}(x\leq\mathbb{Q}[N^{1/2}S_N-a]\leq x+\lambda)\,, \] for \(\lambda\geq0\). The proofs of the main results use number theoretic arguments.