A multiplicative inequality for concentration functions of n-fold convolutions

MaRDI QIDQ4524733zbMATH OpenFDO

Authors Friedrich Götze, A. Yu. Zaitsev

Publication date 23 September 2001

Full work available at URL https://arxiv.org/abs/1402.6966

zbMATH Keywords

concentration functionconvolutions oscillator

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: We estimate the concentration functions of $n$-fold convolutions of one-dimensional probability measures. The main result is a supplement to the results of G"otze and Zaitsev (1998). We show that the estimation of concentration functions at arguments of bounded size can be reduced to the estimation of these functions at arguments of size $O(sqrtn)$ which is easier.

Review text

For a distribution \(F\) on the Borel set of the real line, the concentration function \(Q\) is defined by \(Q(F,b)=\sup_x F\{[x,x+b]\}\) for all \(b\geq 0\). The present paper generalizes a result of the authors [J. Theor. Probab. 11, No. 3, 715-731 (1998; Zbl 0936.60014), Theorem 2] on the \(n\)-fold convolution. This generalization consists in the discussion of the concentration function of \(H*F^{n*}\). Special choices of \(H\) yield the interesting results. For the entire collection see [Zbl 0948.00040].

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