Convergence in distribution norms in the CLT for non identical distributed random variables

DOI10.1214/18-EJP174zbMATH Open1410.60031arXiv1606.01629OpenAlexW2962940143MaRDI QIDQ1663863FDOQ1663863

Vlad Bally, Guillaume Poly, Lucia Caramellino

Publication date: 24 August 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We study the convergence in distribution norms in the Central Limit Theorem for non identical distributed random variables that is ${\displaystyle }$ varepsilon_{n}(f):={mathbb{E}}Big(fBig(frac 1{sqrt n}sum_{i=1}^{n}Z_{i}Big)Big)-{mathbb{E}}�ig(f(G)�ig) ightarrow 0 ${\displaystyle }$ where $Z_i$ are centred independent random variables and $G$ is a Gaussian random variable. We also consider local developments (Edgeworth expansion). This kind of results is well understood in the case of smooth test functions $f$. If one deals with measurable and bounded test functions (convergence in total variation distance), a well known theorem due to Prohorov shows that some regularity condition for the law of the random variables $Z_i$, $iinmathbbN$, on hand is needed. Essentially, one needs that the law of $Z_i$ is locally lower bounded by the Lebesgue measure (Doeblin's condition). This topic is also widely discussed in the literature. Our main contribution is to discuss convergence in distribution norms, that is to replace the test function $f$ by some derivative $partia{l}_{alpha}f$ and to obtain upper bounds for $varepsilo{n}_n(partia{l}_{alpha}f)$ in terms of the infinite norm of $f$. Some applications are also discussed: an invariance principle for the occupation time for random walks, small balls estimates and expected value of the number of roots of trigonometric polynomials with random coefficients.

Full work available at URL: https://arxiv.org/abs/1606.01629

Recommendations

• An invariance principle under the total variation distance
• On the rate of convergence of \(L_p\) norms in the central limit theorem for independent random variables
• Some nonuniform estimate in the central limit theorem
• On convergence rate in CLT for smooth distributions
• Nonuniform central limit bounds and their applications

zbMATH Keywords

central limit theoremsintegration by partsabstract Malliavin calculusregularizing results

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Fourier analysis of distribution functions. A mathematical study of the Laplace-Gaussian law
• The distribution of the zeros of random trigonometric polynomials
• Convergence in total variation on Wiener chaos
• Fisher information inequalities and the central limit theorem
• Analysis and Geometry of Markov Diffusion Operators
• Title not available (Why is that?)
• On Hoeffding's inequalities.
• Entropy and the central limit theorem
• On the distances between probability density functions
• CLT for the zeros of classical random trigonometric polynomials
• The Number of Real Zeros of a Random Trigonometric Polynomial
• A probabilistic interpretation of the parametrix method
• Riesz transform and integration by parts formulas for random variables
• Title not available (Why is that?)
• A generalization of the Lindeberg principle
• On Convergence in the Mean for Densities
• Asymptotic expansions in the central limit theorem under moment conditions
• Modern Theory of Summation of Random Variables
• CLT for crossings of random trigonometric polynomials
• Upper bounds for minimal distances in the central limit theorem
• Positivity and lower bounds for the density of Wiener functionals
• Berry-Esseen bounds in the entropic central limit theorem
• Integration by parts formula and applications to equations with jumps
• Berry-Esseen bounds and Edgeworth expansions in the central limit theorem for transport distances
• Asymptotic development for the CLT in total variation distance
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Integration by Parts Formula with Respect to Jump Times for StochasticDifferential Equations
• On the real zeros of random trigonometric polynomials with dependent coefficients
• An optimal control variance reduction method for density estimation
• Expected number of real roots of random trigonometric polynomials
• Asymptotic expansions for products of characteristic functions under moment assumptions of non-integer orders

Cited In (12)

• A probability approximation framework: Markov process approach
• Non universality for the variance of the number of real roots of random trigonometric polynomials
• Convergence of Known Distributions to Limiting Normal or Non-normal Distributions: An Elementary Ratio Technique
• Random trigonometric polynomials: universality and non-universality of the variance for the number of real roots
• Estimates of the difference between two probability densities of Wiener functionals and its application
• Total variation distance between stochastic polynomials and invariance principles
• Approximation to stable law by the Lindeberg principle
• Regularization lemmas and convergence in total variation
• Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Improved bounds for the total variation distance between stochastic polynomials
• Total variation distance between a jump-equation and its Gaussian approximation

This page was built for publication: Convergence in distribution norms in the CLT for non identical distributed random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1663863)