Approximate central limit theorems

DOI10.1007/S10959-017-0744-6zbMATH Open1404.60032arXiv1612.07950OpenAlexW2566277741MaRDI QIDQ1800947FDOQ1800947

Authors: B. Berckmoes, Geert Molenberghs 

Publication date: 26 October 2018

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

Abstract: We refine the classical Lindeberg-Feller central limit theorem by obtaining asymptotic bounds on the Kolmogorov distance, the Wasserstein distance, and the parametrized Prokhorov distances in terms of a Lindeberg index. We thus obtain more general approximate central limit theorems, which roughly state that the row-wise sums of a triangular array are approximately asymptotically normal if the array approximately satisfies Lindeberg's condition. This allows us to continue to provide information in non-standard settings in which the classical central limit theorem fails to hold. Stein's method plays a key role in the development of this theory.

Full work available at URL: https://arxiv.org/abs/1612.07950

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zbMATH Keywords

Prokhorov metricKolmogorov metricLindeberg indexLindeberg-Feller central limit theoremStein's MethodWasserstein Metric

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

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Cited In (4)

• An isometric study of the Lindeberg-Feller central limit theorem via Stein's method
• Normal Approximation by Stein’s Method
• Approximation to stable law by the Lindeberg principle
• Stein's method for conditional central limit theorem

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