Prokhorov radius of a neighborhood of zero described by three moment constraints
Theorem 1 provides the precise evaluation of the Prokhorov radius defined by the Prokhorov distance of a probability measure to the degenerate one concentrated at \(0\). This theorem describes the exact rate of the weak convergence of measures from certain family satisfying the three moment constraints to the Dirac one at zero. The results of the paper correspond to applied probability problems, in which rates of convergence of a random error of a consistent statistical estimate vanish, then zero is the most natural limiting point. Theorem 2 gives a solution of a certain moment problem. Here \(L_r\) is calculated, which is the infimum of probability measures of the intervals \([-r,r]\). This infimum is obtained over all probability measures from the family of measures satisfying the three moment constraints.
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