Variations on the Berry--Esseen Theorem

DOI10.1137/S0040585X97985522MaRDI QIDQ4925381zbMATH OpenFDO

Authors B. Klartag, Sasha Sodin

Publication date 12 June 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.3970

zbMATH Keywords

Berry-Esseen theoremcentral limit theoremGaussian distribution

Mathematics Subject Classification ID

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

Abstract: We analyze the quality of the gaussian approximation to linear combinations of n independent, identically-distributed random variables with finite fourth moments. It turns out that there exist universal, simple linear combinations that perform better than the sum of the variables. We also investigate the case in which the random variables are independent, yet they are not necessarily identically distributed.

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Cited in

(25)

• Dependence of the Berry-Esseen estimate on the dimension
• Central limit theorem and Diophantine approximations
• On the dependence of the Berry-Esseen bound on dimension
• Berry-Esseen bounds for typical weighted sums
• Poincaré inequalities and normal approximation for weighted sums
• Asymptotic analysis of symmetric functions
• On the higher dimensional quasi-power theorem and a Berry-Esseen inequality
• Edgeworth corrections in randomized central limit theorems
• Second-order concentration on the sphere
• Higher order concentration of measure
• A note on the rate of convergence in the Boolean central limit theorem
• Variations and extensions of the Gaussian concentration inequality, Part I
• Faster convergence in the free central limit theorem
• Limit theorems for the volumes of small codimensional random sections of \(\ell_{p}^{n}\)-balls
• A multivariate CLT for weighted sums with rate of convergence of order O(1/n)
• Polynomial Propagation of Moments in Stochastic Differential Equations
• Inference via randomized test statistics
• Refinements of Berry-Esseen inequalities in terms of Lyapunov coefficients
• Asymptotic expansions and two-sided bounds in randomized central limit theorems
• Weighted sums and Berry-Esseen type estimates in free probability theory
• Higher dimensional quasi-power theorem and Berry-Esseen inequality
• Weighted Birkhoff averages: deterministic and probabilistic perspectives
• On short Chebyshev-Edgeworth expansions for weighted sums of random vectors
• Refining the convergence rate for -divergence statistics in multinomial goodness-of-fit tests
• Normal approximation for weighted sums under a second-order correlation condition

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