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

DOI10.1214/19-AOP1388MaRDI QIDQ784166zbMATH OpenFDO

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

Publication date 31 July 2020

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

Full work available at URL https://arxiv.org/abs/1906.09063, https://projecteuclid.org/euclid.aop/1592359226

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)

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.

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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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