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Teoriya Veroyatnostei i ee Primeneniya, 1969, Volume 14, Issue 4, Pages 667–678
(Mi tvp1477)
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This article is cited in 10 scientific papers (total in 10 papers)
An improvement of a convergence rate estimate
V. V. Sazonov Moscow
Abstract:
Let $\xi_1,\xi_2,\dots$ be independent random variables equally distributed with a continuous distribution function$F(x)$. Put
$$
W_n^2=n\int_{-\infty}^\infty[F_n(x)-F(x)]^2\,dF(x),
$$
where
$$
F_n(x)=\frac1n\sum_{j=1}^n\delta(x-\xi_j),\quad\delta(x)=
\begin{cases}
1,&x>0,
\\
0,&x\le0.
\end{cases}
$$
Denote by $S(x)$ the distribution function with the characteristic function
$$
s(t)=\prod_{j=1}^\infty(1-2it(\pi j)^{-2})^{-1/2}.
$$
In [3], it has been shown that
$$
\Delta_n=\sup_{x\in R^1}|\mathbf P(W_n^2<x)-S(x)|\underset{n\to\infty}\longrightarrow0
$$
not slowlier than $n^{-1/10}$. In the present paper, we obtain a stronger result: for any $\varepsilon>0$ there exists a $c(\varepsilon)$ such that
$$
\Delta_n\le c(\varepsilon)n^{-1/6+\varepsilon},\quad n=1,2,\dots.
$$
Received: 05.05.1969
Citation:
V. V. Sazonov, “An improvement of a convergence rate estimate”, Teor. Veroyatnost. i Primenen., 14:4 (1969), 667–678; Theory Probab. Appl., 14:4 (1969), 640–651
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https://www.mathnet.ru/eng/tvp1477 https://www.mathnet.ru/eng/tvp/v14/i4/p667
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