Structural improvements of nonuniform convergence rate estimates in the central limit theorem with applications to Poisson random sums

DOI10.1134/S1064562411060299MaRDI QIDQ653034zbMATH OpenOpenAlexFDO

Authors Yu. S. Nefedova, I. G. Shevtsova

Publication date 6 January 2012

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064562411060299

zbMATH Keywords

central limit theoremnon-uniform boundsnumerical computation of constantsrate of convergence

Mathematics Subject Classification ID

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

Review text

Let \(X_i\), \(i\geq1\), be a sequence of independent and identically distributed random variables with \(E(X_1)=0\), \(E(X_1^2)=1\) and \(\beta_{2+\delta}=E(|X_1|^{2+\delta})<\infty\) for some \(\delta\in(0,1]\). For every integer \(n\geq1\) and real number \(x\), set \(F_n(x)=P(X_1+\cdots+X_n<x)\) and \(\Delta_n(x)=|F_n(x\sqrt{n})-\Phi(x)|\), where \(\Phi\) denotes the distribution function of the standard normal distribution. An algorithm is presented which for each \(\delta\in(0,1]\) allows to compute an upper bound for the absolute constant \(C(\delta)\) in the inequality \[ \sup_x(1+|x|^{2+\delta})\Delta_n(x)\leq C(\delta)(\beta_{2+\delta}+1)n^{-\delta/2}\,. \] Moreover, the method permits to compute a function \(C(K,\delta)\) such that for all \(\delta\in(0,1]\), \(K\geq0\) and \(n\geq1\) \[ \sup_{|x|\geq K}|x|^{2+\delta}\Delta_n(x)\leq C(K,\delta)(\beta_{2+\delta}+1)n^{-\delta/2}\,, \] where \(C(K,\delta)\) does not depend on the common distribution of the \(X_i\)'s

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Cites work

• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• On Berry-Esseen results for the compound Poisson distribution
• On the analytical structure of the constant in the nonuniform version of the esseen inequality
• Some Limit Theorems for Large Deviations

Cited in

(8)

• On the rate of convergence of \(L_p\) norms in the CLT for Poisson and gamma random variables
• Convergence rate estimates in local limit theorems for Poisson random sums
• scientific article; zbMATH DE number 1222162 (Why is no real title available?)
• On the accuracy of the approximation of the complex exponent by the first terms of its Taylor expansion with applications
• On convergence rate in CLT for smooth distributions
• A moment inequality with application to convergence rate estimates in the global CLT for Poisson-binomial random sums
• On nonuniform convergence rate estimates in the central limit theorem
• L₁ bounds for asymptotic normality of random sums of independent random variables

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