On the asymptotical behavior of the constant in the Berry-Esseen inequality
Let \(F_ n\) be the d.f. of a sum \(S_ n\) of \(n\) independent centered r.v.s, let \(\Phi\) denote the standard normal d.f. and \(\varphi\) its density. The author proves that \[ | F_ n(sx)-\Phi(x)|\leq L_ n (\varphi(x)+(6 \sqrt{2\pi})^{-1})+cL_ n^{4/3}\leq 7 L_ n/6\sqrt{2\pi}+cL_ n^{4/3}, \] where \(L_ n\) denotes the Lyapunov fraction, \(C\) is an absolute constant and \(s^ 2_ n=ES^ 2_ n\). A number of papers are devoted (or bear a relation) to the estimation and investigation of the structure of the constant \(C\) starting from Berry- Esséen (1941, 1945). \textit{V. M. Zolotarev} [Theor. Probab. Appl. 11, 447-454 (1966); translation from Teor. Veroyatn. Primen. 11, 507-514 (1966; Zbl 0203.201) and Z. Wahrscheinlichkeitstheorie Verw. Geb. 8, 332-342 (1967; Zbl 0157.255)], \textit{H. Prawitz} [Scand. actuarial J. 1975, 145-156 (1975; Zbl 0317.60009)], \textit{L. Paditz} [Math. Nachr. 127, 281-298 (1986; Zbl 0606.60030)], \textit{V. Yu. Bentkus} and \textit{K. P. Kirsha} [Lith. Math. J. 29, No. 4, 321-332 (1989); translation from Litov. Mat. Sb. 29, No. 4, 657-673 (1989; Zbl 0708.60023)] and many others have made important contributions to improve the constant. The above mentioned result is also an attempt to improve the universal constant. The author also suggests further improvement for symmetric r.v.s and for identically distributed case.
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