A multivariate Berry-Esseen theorem with explicit constants

DOI10.3150/18-BEJ1072zbMATH Open1428.62205arXiv1802.06475OpenAlexW3100662532MaRDI QIDQ2325342FDOQ2325342

Authors: Martin Raič 

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We provide a Lyapunov type bound in the multivariate central limit theorem for sums of independent, but not necessarily identically distributed random vectors. The error in the normal approximation is estimated for certain classes of sets, which include the class of measurable convex sets. The error bound is stated with explicit constants. The result is proved by means of Stein's method. In addition, we improve the constant in the bound of the Gaussian perimeter of convex sets.

Full work available at URL: https://arxiv.org/abs/1802.06475

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zbMATH Keywords

Stein's methodBerry-Esseen theoremmultivariate central limit theoremexplicit constantsLyapunov bound

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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