Normal approximation for weighted sums under a second-order correlation condition

DOI10.1214/19-AOP1388zbMATH Open1476.60008arXiv1906.09063MaRDI QIDQ784166FDOQ784166

Gennadiy P. Chistyakov, S. G. Bobkov, Friedrich Götze

Publication date: 31 July 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Under correlation-type conditions, we derive an upper bound of order $(logn)/n$ for the average Kolmogorov distance between the distributions of weighted sums of dependent summands and the normal law. The result is based on improved concentration inequalities on high-dimensional Euclidean spheres. Applications are illustrated on the example of log-concave probability measures.

Full work available at URL: https://arxiv.org/abs/1906.09063

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zbMATH Keywords

normal approximationKolmogorov distanceweighted sumSudakov's typical distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (4)

• Higher order concentration on Stiefel and Grassmann manifolds
• Asymptotic expansions and two-sided bounds in randomized central limit theorems
• Inference via randomized test statistics
• Poincaré inequalities and normal approximation for weighted sums

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