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

zbMATH Open1331.60047arXiv1504.05938MaRDI QIDQ3465404FDOQ3465404

Authors: Christian Döbler 

Publication date: 21 January 2016

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.

Full work available at URL: https://arxiv.org/abs/1504.05938

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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)

Cited In (12)

• 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
• On the normal approximation under some condition for a differential equation of the characteristic function
• On the rate of convergence in the global central limit theorem for random sums of independent random variables
• Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
• Berry-Esseen bounds for functionals of independent random variables
• From \(p\)-Wasserstein bounds to moderate deviations
• Title not available (Why is that?)
• Remarks on products of generalized topologies
• Asymptotically optimal Berry-Esseen-type bounds for distributions with an absolutely continuous part
• On the weak limit theorems for geometric summations of independent random variables together with convergence rates to asymmetric Laplace distributions

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