Bounds for the accuracy of invalid normal approximation

MaRDI QIDQ5090257zbMATH OpenFDO

Authors Alexandra Dorofeeva, V. Yu. Korolev, Alexander I. Zejfman

Publication date 18 July 2022

Full work available at URL https://arxiv.org/abs/2010.13138

zbMATH Keywords

accuracy of the normal approximationcentral limit theoremheavy tailsstable distributionuniform distance

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Abstract: In applied probability, the normal approximation is often used for the distribution of data with assumed additive structure. This tradition is based on the central limit theorem for sums of (independent) random variables. However, it is practically impossible to check the conditions providing the validity of the central limit theorem when the observed sample size is limited. Therefore it is very important to know what the real accuracy of the normal approximation is in the cases where it is used despite it is theoretically inapplicable. Moreover, in some situations related with computer simulation, if the distributions of separate summands in the sum belong to the domain of attraction of a stable law with characteristic exponent less than two, then the observed distance between the distribution of the normalized sum and the normal law first decreases as the number of summands grows and begins to increase only when the number of summands becomes large enough. In the present paper an attempt is undertaken to give some theoretical explanation to this effect.

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Cites work

• An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
• Bounds of the accuracy of the normal approximation to the distributions of random sums under relaxed moment conditions
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• Pre-limit theorems and their applications

Cited in

(1)

• On the real accuracy of approximation in the central limit theorem

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