An improvement of Tusnády's inequality in the bulk

DOI10.1016/J.AAM.2021.102270MaRDI QIDQ2665753zbMATH OpenOpenAlexFDO

Authors Frédéric Ouimet

Publication date 19 November 2021

Published in Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.15917, https://authors.library.caltech.edu/112443/

zbMATH Keywords

binomial distributioncontinuity correctionGaussian approximationKMT approximationlocal limit theoremquantile couplingTusnády's inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Limit theorems in probability theory (60F99) Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20)

Abstract: We prove a non-asymptotic generalization of the refined continuity correction developed in Cressie (1978) for the Binomial distribution, which we then use to improve the versions of Tusn'ady's inequality from Massart (2002) and Carter & Pollard (2004) in the bulk.

Review text

Strict bounds for the distance between Normal\(({m/2},{m/4})\) and Binomial\((m,1/2)\) distributions are provided by Tusnády's inequality which ``lies at the heart of the modern approach to the proof of the Komlós-Major-Tusnády approximation of the empirical process by a sequence of Bownian bridges. The bounds are in terms of a standard \(N(0,1)\) distributed random variable \(Z\). The main result is a remarkable improvement of previous bounds if the values allowed for \(Z\) are restricted to \(|Z|\leq\sqrt{\log(m)}\) (the ``bulk of \(N(0,1)\)), where \(m\) is subject to usually large lower bound. The proof relies among other rather technical evaluations on a refined continuity correction for the Binomial distribution.

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Cited in

(7)

• Tusnady's lemma, 24 years later
• Tusnády's inequality revisited
• Refined normal approximations for the central and noncentral chi-square distributions and some applications
• Refined normal approximations for the Student distribution
• A short proof of a strong form of the three dimensional Gaussian product inequality
• On asymptotic and strict monotonicity of a sharper lower bound for Student's t percentiles
• Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces

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