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Informatika i Ee Primeneniya [Informatics and its Applications], 2011, Volume 5, Issue 3, Pages 64–66
(Mi ia160)
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This article is cited in 11 scientific papers (total in 11 papers)
On the Berry–Esseen type inequalities for poisson random sums
V. Yu. Korolevab, I. G. Shevtsovaab, S. Ya. Shorgina a Institute for Problems of Informatics RAS
b M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Abstract:
For the uniform distance between the distribution function $\Phi(x)$ of the standard normal random variable and the distribution function $F_\lambda(x)$ of the Poisson random sum of independent identically distributed random variables $X_1, X_2,\dots$ with finite third absolute moment, $\lambda>0$ being the parameter of the Poisson index, it is proved the inequality
$$
\sup_{x}|F_\lambda(x)-\Phi(x)|\le 0.4532\frac{\mathsf E|X_1-\mathsf E X_1|^3}{(\mathsf D X_1)^{3/2}\sqrt{\lambda}}\,,\quad \lambda>0,
$$
which is similar to the Berry–Esseen estimate and uses the central moments, unlike the known analogous inequalities based on the noncentral moments.
Keywords:
Poisson random sum; central limit theorem; convergence rate estimate; Berry–Esseen inequality; absolute constant.
Citation:
V. Yu. Korolev, I. G. Shevtsova, S. Ya. Shorgin, “On the Berry–Esseen type inequalities for poisson random sums”, Inform. Primen., 5:3 (2011), 64–66
Linking options:
https://www.mathnet.ru/eng/ia160 https://www.mathnet.ru/eng/ia/v5/i3/p64
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Abstract page: | 695 | Full-text PDF : | 144 | References: | 78 | First page: | 13 |
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