New Berry-Esseen and Wasserstein bounds in the CLT for non-randomly centered random sums by probabilistic methods

MaRDI QIDQ3465404zbMATH OpenFDO

Authors Christian Döbler

Publication date 21 January 2016

Full work available at URL https://arxiv.org/abs/1504.05938, http://alea.impa.br/articles/v12/12-33.pdf

zbMATH Keywords

central limit theoremWasserstein distanceStein's methodBerry-Esseen boundsKolmogorov distancerandom sumssize bias couplingszero bias couplings

Mathematics Subject Classification ID

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

Abstract: We prove abstract bounds on the Wasserstein and Kolmogorov distances between non-randomly centered random sums of real i.i.d. random variables with a finite third moment and the standard normal distribution. Except for the case of mean zero summands, these bounds involve a coupling of the summation index with its size biased distribution as was previously considered in cite{GolRin96} for the normal approximation of nonnegative random variables. When being specialized to concrete distributions of the summation index like the Binomial, Poisson and Hypergeometric distribution, our bounds turn out to be of the correct order of magnitude.

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Cited in

(12)

• Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
• Asymptotically optimal Berry-Esseen-type bounds for distributions with an absolutely continuous part
• On the normal approximation under some condition for a differential equation of the characteristic function
• On the weak limit theorems for geometric summations of independent random variables together with convergence rates to asymmetric Laplace distributions
• On the rate of convergence in the global central limit theorem for random sums of independent random variables
• From \(p\)-Wasserstein bounds to moderate deviations
• Berry-Esseen bounds for functionals of independent random variables
• scientific article; zbMATH DE number 7470640 (Why is no real title available?)
• Remarks on products of generalized topologies
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Lindeberg's method for moderate deviations and random summation
• Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings

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