Explicit rates of approximation in the CLT for quadratic forms

DOI10.1214/13-AOP839zbMATH Open1290.60021arXiv1104.0519OpenAlexW1999202288MaRDI QIDQ2438752FDOQ2438752

Authors: Friedrich Götze, A. Yu. Zaitsev 

Publication date: 6 March 2014

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Let $X,X_1,X_2,ldots$ be i.i.d. ${mathbbR}^d$-valued real random vectors. Assume that $mathbfEX=0$, $operatornamecovX=mathbbC$, $mathbfEVertXVer{t}^2=sigm{a}^2$ and that $X$ is not concentrated in a proper subspace of $mathbb{R}^d$. Let $G$ be a mean zero Gaussian random vector with the same covariance operator as that of $X$. We study the distributions of nondegenerate quadratic forms $mathbbQ[S_N]$ of the normalized sums $S_N=N^{-1/2}(X_1+cdots+X_N)$ and show that, without any additional conditions, [Delta_Nstackrel{mathrm{def}}{=}sup_x�igl |mathbf{P}�igl{mathbb{Q}[S_N]leq x�igr}-mathbf{P}�igl{mathbb{Q}[G]leq x�igr}�igr|={mathcal{O}}�igl(N^{-1}�igr),] provided that $dgeq5$ and the fourth moment of $X$ exists. Furthermore, we provide explicit bounds of order $mathcalO(N^{-1})$ for $Delt{a}_N$ for the rate of approximation by short asymptotic expansions and for the concentration functions of the random variables $mathbbQ[S_N+a]$, $ain{mathbbR}^d$. The order of the bound is optimal. It extends previous results of Bentkus and G"{o}tze [Probab. Theory Related Fields 109 (1997a) 367-416] (for $dge9$) to the case $dge5$, which is the smallest possible dimension for such a bound. Moreover, we show that, in the finite dimensional case and for isometric $mathbbQ$, the implied constant in $mathcalO(N^{-1})$ has the form $c_{d}sigm{a}^d(detmathbbC{)}^{-1/2}mathbfE|mathbb{C}^{-1/2}X{|}^4$ with some $c_d$ depending on $d$ only. This answers a long standing question about optimal rates in the central limit theorem for quadratic forms starting with a seminal paper by Ess'{e}en [Acta Math. 77 (1945) 1-125].

Full work available at URL: https://arxiv.org/abs/1104.0519

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zbMATH Keywords

central limit theoremconvergence ratesquadratic formslattice point problemtheta-seriesellipsoidsconcentration functionshyperboloidsmultidimensional spaces

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cited In (15)

• The Chebyshev-Edgeworth correction in the central limit theorem for integer-valued independent summands
• Asymptotic analysis of symmetric functions
• Densities of distributions of homogeneous functions of Gaussian random vectors
• High-dimensional central limit theorems by Stein's method
• Cramér-type moderate deviation for quadratic forms with a fast rate
• High-dimensional consistent independence testing with maxima of rank correlations
• On bounds for characteristic functions of powers of asymptotically normal variables
• Inference via randomized test statistics
• Optimal rates of convergence in the CLT for quadratic forms
• Edgeworth approximations for distributions of symmetric statistics
• Toward the history of the Saint St. Petersburg school of probability and statistics. I: Limit theorems for sums of independent random variables
• Proof of Tomaszewski's conjecture on randomly signed sums
• Uniform rates of approximation by short asymptotic expansions in the CLT for quadratic forms
• Convergence and asymptotic approximations to universal distributions in probability
• A multivariate CLT for weighted sums with rate of convergence of order \(O(1/n)\)

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