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

DOI10.1214/18-EJP174MaRDI QIDQ1663863zbMATH OpenOpenAlexFDO

Authors Vlad Bally, Lucia Caramellino, Guillaume Poly

Publication date 24 August 2018

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

Full work available at URL https://arxiv.org/abs/1606.01629, https://projecteuclid.org/euclid.ejp/1527213726

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)

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.

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Cited in

(13)

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

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