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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 2, Pages 308–335
DOI: https://doi.org/10.4213/tvp1805
(Mi tvp1805)
 

This article is cited in 7 scientific papers (total in 7 papers)

Approximation of quadratic forms of independent random vectors by accompanying laws

V. Bentkusa, F. Götzea, A. Yu. Zaitsevb

a Fakultät fär Mathematik, Universität Bielefeld, Germany
b St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences
Abstract: Let X,X1,X2, be independent and identically distributed random vectors taking values in Rd. Assume that EX=0, E|X|8/3< and that X is not concentrated in a proper subspace of Rd. Let Y,Y1,Y2, denote i.i.d. random vectors with common distribution which is accompanying to that of X. We compare the distributions of the nondegenerate quadratic forms Q[SN] and Q[TN] of the normalized sums SN=N1/2(X1++XN) and TN=N1/2(Y1++YN) and prove that
supx|P{Q[SNa]<x}P{Q[TNa]<x}|=O((1+|a|4)N1),aRd,
provided that 9. The constant in this bound depends on \mathsf{E}|X|^{8/3}, Q, and the covariance operator of X. We also show the optimality of the bound O(N^{-1}).
Keywords: compound Poisson approximation, accompanying laws, convergence rates, multidimensional spaces, Hilbert spaces, quadratic forms, ellipsoids, hyperboloids.
Received: 18.06.1996
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 2, Pages 189–212
DOI: https://doi.org/10.1137/S0040585X97976131
Bibliographic databases:
Language: English
Citation: V. Bentkus, F. Götze, A. Yu. Zaitsev, “Approximation of quadratic forms of independent random vectors by accompanying laws”, Teor. Veroyatnost. i Primenen., 42:2 (1997), 308–335; Theory Probab. Appl., 42:2 (1998), 189–212
Citation in format AMSBIB
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\by V.~Bentkus, F.~G\"otze, A.~Yu.~Zaitsev
\paper Approximation of quadratic forms of independent random vectors by accompanying laws
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 2
\pages 308--335
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\crossref{https://doi.org/10.4213/tvp1805}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1474712}
\zmath{https://zbmath.org/?q=an:0913.60034}
\transl
\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 2
\pages 189--212
\crossref{https://doi.org/10.1137/S0040585X97976131}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000074375200001}
Linking options:
  • https://www.mathnet.ru/eng/tvp1805
  • https://doi.org/10.4213/tvp1805
  • https://www.mathnet.ru/eng/tvp/v42/i2/p308
  • This publication is cited in the following 7 articles:
    1. V. Čekanavičius, S. Y. Novak, “Compound Poisson approximation”, Probab. Surveys, 19:none (2022)  crossref
    2. Kruopis J., Cekanavicius V., “Compound Poisson Approximations for Symmetric Vectors”, J. Multivar. Anal., 123 (2014), 30–42  crossref  mathscinet  zmath  isi  elib  scopus
    3. Goetze F., Zaitsev A.Yu., “Explicit Rates of Approximation in the Clt for Quadratic Forms”, Ann. Probab., 42:1 (2014), 354–397  crossref  mathscinet  zmath  isi  scopus
    4. F. Götze, A. Yu. Zaitsev, “Uniform rates of approximation by short asymptotic expansions in the CLT for quadratic forms”, J. Math. Sci. (N. Y.), 176:2 (2011), 162–189  mathnet  crossref
    5. A. Yu. Zaitsev, “On approximation of the sample by a Poisson point process”, J. Math. Sci. (N. Y.), 128:1 (2005), 2556–2563  mathnet  crossref  mathscinet  zmath  elib
    6. Bentkus V., Gotze F., “Optimal bounds in non–Gaussian limit theorems for U–statistics”, Annals of Probability, 27:1 (1999), 454–521  crossref  mathscinet  zmath  isi  scopus
    7. Bentkus V., Gotze F., “Uniform rates of convergence in the CLT for quadratic forms in multidimensional spaces”, Probability Theory and Related Fields, 109:3 (1997), 367–416  crossref  mathscinet  zmath  isi  scopus
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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