Closeness of convolutions of probability measures

DOI10.3150/08-BEJ171zbMATH Open1205.60022arXiv0811.0622MaRDI QIDQ605035FDOQ605035

B. Roos

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We derive new explicit bounds for the total variation distance between two convolution products of $n$ probability distributions, one of which having identical convolution factors. Approximations by finite signed measures of arbitrary order are considered as well. We are interested in bounds with magic factors, i.e. roughly speaking $n$ also appears in the denominator. Special emphasis is given to the approximation by the $n$-fold convolution of the arithmetic mean of the distributions under consideration. As an application, we consider the multinomial approximation of the generalized multinomial distribution. It turns out that here the order of some bounds given in Roos (2001) and Loh (1992) can significantly be improved. In particular, it follows that a dimension factor can be dropped. Moreover, better accuracy is achieved in the context of symmetric distributions with finite support. In the course of proof, we use a basic Banach algebra technique for measures on a measurable Abelian group. Though this method was already used by Le Cam (1960), our central arguments seem to be new. We also derive new smoothness bounds for convolutions of probability distributions, which might be of independent interest.

Full work available at URL: https://arxiv.org/abs/0811.0622

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zbMATH Keywords

convolutionstotal variation distancemultivariate Krawtchouk polynomialssigned measuresexplicit constantsgeneralized multinomial distributionmagic factormultinomial approximation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Banach algebras of continuous functions, function algebras (46J10)

Cites Work

• Stein's method and multinomial approximation
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• Multivariable Meixner, Krawtchouk, and Meixner–Pollaczek polynomials
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• Multinomial and Krawtchouk Approximations to the Generalized Multinomial Distribution
• Verallgemeinerung eines Satzes von Prochorow und Le Cam
• An expansion in the exponent for compound binomial approximations

Cited In (1)

• Proximity of probability distributions in terms of Fourier-Stieltjes transforms

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