Rates of uniform Prokhorov convergence of probability measures with given three moments to a Dirac one (Q1972499)

This paper builds upon the work of the first author in the same area [e.g. J. Math. Anal. Appl. 163, No. 2, 541-558 (1992; Zbl 0755.60017)]. It considers the Prokhorov distance of probability measures \(\mu\) to a Dirac measure \(\delta_a\) and develops bounds for this distance in terms of the first three moments of \(\mu\). Theorem 1 provides explicit bounds (eight separate cases) depending on the relative values of these moments. The proofs are based on the Kemperman geometric approach to certain moment problems. The results strengthen previous work at the cost of knowing an additional moment.