Structural improvements of nonuniform convergence rate estimates in the central limit theorem with applications to Poisson random sums (Q653034)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Structural improvements of nonuniform convergence rate estimates in the central limit theorem with applications to Poisson random sums
scientific article

    Statements

    Structural improvements of nonuniform convergence rate estimates in the central limit theorem with applications to Poisson random sums (English)
    0 references
    0 references
    0 references
    6 January 2012
    0 references
    Let \(X_i\), \(i\geq1\), be a sequence of independent and identically distributed random variables with \(E(X_1)=0\), \(E(X_1^2)=1\) and \(\beta_{2+\delta}=E(|X_1|^{2+\delta})<\infty\) for some \(\delta\in(0,1]\). For every integer \(n\geq1\) and real number \(x\), set \(F_n(x)=P(X_1+\cdots+X_n<x)\) and \(\Delta_n(x)=|F_n(x\sqrt{n})-\Phi(x)|\), where \(\Phi\) denotes the distribution function of the standard normal distribution. An algorithm is presented which for each \(\delta\in(0,1]\) allows to compute an upper bound for the absolute constant \(C(\delta)\) in the inequality \[ \sup_x(1+|x|^{2+\delta})\Delta_n(x)\leq C(\delta)(\beta_{2+\delta}+1)n^{-\delta/2}\,. \] Moreover, the method permits to compute a function \(C(K,\delta)\) such that for all \(\delta\in(0,1]\), \(K\geq0\) and \(n\geq1\) \[ \sup_{|x|\geq K}|x|^{2+\delta}\Delta_n(x)\leq C(K,\delta)(\beta_{2+\delta}+1)n^{-\delta/2}\,, \] where \(C(K,\delta)\) does not depend on the common distribution of the \(X_i\)'s
    0 references
    central limit theorem
    0 references
    rate of convergence
    0 references
    non-uniform bounds
    0 references
    numerical computation of constants
    0 references

    Identifiers