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=N−1/2(X1+⋯+XN) and TN=N−1/2(Y1+⋯+YN) and prove that
supx|P{Q[SN−a]<x}−P{Q[TN−a]<x}|=O((1+|a|4)N−1),a∈Rd,
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}).
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
\Bibitem{BenGotZai97}
\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
\mathnet{http://mi.mathnet.ru/tvp1805}
\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:
V. Čekanavičius, S. Y. Novak, “Compound Poisson approximation”, Probab. Surveys, 19:none (2022)
Kruopis J., Cekanavicius V., “Compound Poisson Approximations for Symmetric Vectors”, J. Multivar. Anal., 123 (2014), 30–42
Goetze F., Zaitsev A.Yu., “Explicit Rates of Approximation in the Clt for Quadratic Forms”, Ann. Probab., 42:1 (2014), 354–397
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
A. Yu. Zaitsev, “On approximation of the sample by a Poisson point process”, J. Math. Sci. (N. Y.), 128:1 (2005), 2556–2563
Bentkus V., Gotze F., “Optimal bounds in non–Gaussian limit theorems for U–statistics”, Annals of Probability, 27:1 (1999), 454–521
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