A refinement of non-uniform estimates of the rate of convergence in the central limit theorem under the existence of moments of orders no higher than two (Q6159083)

Let \(X_1,\ldots,X_n\) be independent and identically distributed random variables with \(\mathbf{E}X_i=0\) for each \(i\), and \(0<\mathbf{E}X_i^2=\sigma_i^2<\infty\) with \(\sigma_1^2+\cdots+\sigma_n^2=1\). The authors establish new bounds in the non-uniform central limit theorem for \(W_n=X_1+\cdots+X_n\). In particular, they establish the following bounds on \[ \Delta_x=|\mathbf{P}(W_n<x)-\Phi(x)|\,, \] where \(\Phi\) is the standard normal distribution function: there are functions \(C(x)\), \(C_2(x)\) and \(C_3(x)\) such that \begin{align*} \Delta_x&\leq C(x)\sum_{i=1}^n\left[\frac{\mathbf{E}X_i^2\mathbb{I}(|X_i|\geq1+|x|)}{(1+|x|)^2}+\frac{\mathbf{E}|X_i|^3\mathbb{I}(|X_i|<1+|x|)}{(1+|x|)^3}\right]\,,\\ \Delta_x&\leq\frac{C_2(x)}{(1+|x|)^2}\sum_{i=1}^n\mathbf{E}X_i^2\mathbb{I}(|X_i|\geq1+|x|)+\frac{C_3(x)}{(1+|x|)^3}\sum_{i=1}^n\mathbf{E}|X_i|^3\mathbb{I}(|X_i|<1+|x|)\,, \end{align*} where \(C(x)\leq39.317\), \(C_2(x)\leq14.262\) and \(C_3(x)\leq41.229\).