Estimates for the accuracy of coupling in the central limit theorem (Q1358027)
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English | Estimates for the accuracy of coupling in the central limit theorem |
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Estimates for the accuracy of coupling in the central limit theorem (English)
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6 January 1998
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For independent centered random variables \(\xi_1,\ldots,\xi_N\) the author studies the difference \(\Delta={}S/B-Z{}\) where \(S=\sum_{j=1}^N X_j, 0<B^2=\sum_{j=1}^N\text{var} \xi_j<\infty\) and \(Z\) has a standard normal law. More exactly \(S\) and \(Z\) are constructed on some probability space. Under certain conditions the upper bound for \({\mathbf E}\Delta^{\alpha}\exp{(\lambda\Delta/8)}\) is obtained in terms of the modification of Lyapunov's ratio (here \(\alpha\geq 1\) and \(\lambda>0\) is chosen in an appropriate manner). Several estimates for other functions of \(\Delta\) are also established.
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rates in the central limit theorem
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modification of the Lyapunov ratio
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