Abstract:
Let ξ and η be s-dimensional random vectors with distribution functions F(x), G(x) and characteristic functions f(t), g(t) respectively.
Theorem. {\it For arbitrary T>0,
supx|F(x)−G(x)|⩽2[1(2π)s∫T−T|Δ(t)|dt+s−1∑k=11(2π)s−k∑i(k)∫T−T|Δi(k)(t)|dt]+ATC(s),
where
C(s)=24ln2π+8s1/3(2πln4/3)1/3,A=supx∂G∂x1+⋯+supx∂G∂xs
and Δ(t), Δi(k)(t) are defined by} (3), i(k)={i1,…,ik}is an ordered sample from the sequence (1,…,s).
Citation:
N. G. Gamkrelidze, “A multidimensional generalization of Esseen's inequality for distribution functions”, Teor. Veroyatnost. i Primenen., 22:4 (1977), 897–900; Theory Probab. Appl., 22:4 (1978), 877–880
\Bibitem{Gam77}
\by N.~G.~Gamkrelidze
\paper A multidimensional generalization of Esseen's inequality for distribution functions
\jour Teor. Veroyatnost. i Primenen.
\yr 1977
\vol 22
\issue 4
\pages 897--900
\mathnet{http://mi.mathnet.ru/tvp3641}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=458538}
\zmath{https://zbmath.org/?q=an:0395.60020}
\transl
\jour Theory Probab. Appl.
\yr 1978
\vol 22
\issue 4
\pages 877--880
\crossref{https://doi.org/10.1137/1122103}
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This publication is cited in the following 5 articles:
N. G. Gamkrelidze, “Issledovaniya po reshetchatym raspredeleniyam teorii veroyatnostei”, Issledovaniya po reshetchatym raspredeleniyam teorii veroyatnostei, Itogi nauki i tekhn. Sovrem. mat. i ee pril. Temat. obz., 218, VINITI RAN, M., 2022, 3–66
Yongming Li, Shanchao Yang, Chengdong Wei, “Some inequalities for strong mixing random variables with applications to density estimation”, Statistics & Probability Letters, 81:2 (2011), 250
Paulauskas V., “On the rate of convergence to bivariate stable laws”, Lithuanian Mathematical Journal, 49:4 (2009), 426–445
Wan-Ying Chang, Donald St.P. Richards, “Finite-sample inference with monotone incomplete multivariate normal data, I”, Journal of Multivariate Analysis, 100:9 (2009), 1883
B.L.S. Prakasa Rao, “Another Esseen-type inequality for multivariate probability density functions”, Statistics & Probability Letters, 60:2 (2002), 191