Abstract:
Let {ξn} be a sequence of independent identically distributed random variables with a common distribution function (d.f.) F(x). Let us assume that d.f. belongs to the domain of attraction of the Gaussian law. Denote by Fn(x;An,Bn) the d.f. of normalized sum Sn=1Bn∑n1ξi−An and let
δn=infAn,Bnsupx|Fn(x;An,Bn)−Φ(x)|
where Φ(x)=1√2π∫x−∞e−u2/2du.
We investigate in this paper the rate of convergence of δn to 0 and some other related problems. The main results which are also indicative of the other results of the paper are the following theorems.
Theorem 3.1. {\it In order that δn=O(n−δ/2), 0<δ<1, it is necessary and sufficient that the following conditions be satisfied}
σ2=∫∞−∞x2dF(x)<∞,\eqno(3.2)∫|x|>zx2dF(x)=O(|z|−δ),z→∞.\eqno(3.3)
Theorem 3.2. {\it In order that δn=O(n−1/2) it is necessary and sufficient that conditions (3.1), (3.2) and the following one
∫z−zx3dF(x)=O(1),z→∞\eqno(3.4)
be satisfied}.
Citation:
I. A. Ibragimov, “On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables”, Teor. Veroyatnost. i Primenen., 11:4 (1966), 632–655; Theory Probab. Appl., 11:4 (1966), 559–579
\Bibitem{Ibr66}
\by I.~A.~Ibragimov
\paper On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1966
\vol 11
\issue 4
\pages 632--655
\mathnet{http://mi.mathnet.ru/tvp663}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=212853}
\zmath{https://zbmath.org/?q=an:0161.15207}
\transl
\jour Theory Probab. Appl.
\yr 1966
\vol 11
\issue 4
\pages 559--579
\crossref{https://doi.org/10.1137/1111061}
Linking options:
https://www.mathnet.ru/eng/tvp663
https://www.mathnet.ru/eng/tvp/v11/i4/p632
This publication is cited in the following 49 articles:
A. A. Borovkov, Al. V. Bulinski, A. M. Vershik, D. Zaporozhets, A. S. Holevo, A. N. Shiryaev, “Ildar Abdullovich Ibragimov (on his ninetieth birthday)”, Russian Math. Surveys, 78:3 (2023), 573–583
Moritz Jirak, “Edgeworth expansions for volatility models”, Electron. J. Probab., 28:none (2023)
Moritz Jirak, “A Berry-Esseen bound with (almost) sharp dependence conditions”, Bernoulli, 29:2 (2023)
Ruslan Gabdullin, Vladimir Makarenko, Irina Shevtsova, “On Natural Convergence Rate Estimates in the Lindeberg Theorem”, Sankhya A, 84:2 (2022), 671
Nguyen Tien Dung, “Rates of Convergence in the Central Limit Theorem for Nonlinear Statistics Under Relaxed Moment Conditions”, Acta Math Vietnam, 47:3 (2022), 635
James Allen Fill, Svante Janson, “The sum of powers of subtree sizes for conditioned Galton–Watson trees”, Electron. J. Probab., 27:none (2022)
V. Yu. Korolev, A. V. Dorofeeva, “O tochnosti normalnoi approksimatsii pri otsutstvii normalnoi skhodimosti”, Inform. i ee primen., 15:1 (2021), 116–121
Gabdullin R. Makarenko V. Shevtsova I., “Asymptotically Exact Constants in Natural Convergence Rate Estimates in the Lindeberg Theorem”, Mathematics, 9:5 (2021), 501
Zhilova M., “Nonclassical Berry-Esseen Inequalities and Accuracy of the Bootstrap”, Ann. Stat., 48:4 (2020), 1922–1939
M. A. Lifshits, Ya. Yu. Nikitin, V. V. Petrov, A. Yu. Zaitsev, A. A. Zinger, “Toward the history of the Saint Petersburg school of probability and statistics. I. Limit theorems for sums of independent random variables”, Vestn. St Petersb. Univ. Math., 51:2 (2018), 144–163
R. A. Gabdullin, V.A. Makarenko, I. G. Shevtsova, “Esseen–Rozovskii Type Estimates for the Rate of Convergence in the Lindeberg Theorem”, J Math Sci, 234:6 (2018), 847
Wiley Series in Probability and Statistics, Robust Correlation, 2016, 33
Luc Devroye, “A Note on the Probability of Cutting a Galton-Watson Tree”, Electron. J. Probab., 16:none (2011)
I. G. Shevtsova, “On the asymptotically exact constants in the Berry–Esseen–Katz inequality”, Theory Probab. Appl., 55:2 (2011), 225–252
C. C. Heyde, T. Nakata, Selected Works of C.C. Heyde, 2010, 376
C. C. Heyde, Selected Works of C.C. Heyde, 2010, 119
C. C. Heyde, Selected Works of C.C. Heyde, 2010, 249
C. C. Heyde, B. M. Brown, Selected Works of C.C. Heyde, 2010, 147
C. C. Heyde, Selected Works of C.C. Heyde, 2010, 103
C. C. Heyde, Selected Works of C.C. Heyde, 2010, 289