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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 2, Pages 308–335
DOI: https://doi.org/10.4213/tvp1805
(Mi tvp1805)
 

This article is cited in 7 scientific papers (total in 7 papers)

Approximation of quadratic forms of independent random vectors by accompanying laws

V. Bentkusa, F. Götzea, A. Yu. Zaitsevb

a Fakultät fär Mathematik, Universität Bielefeld, Germany
b St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences
Abstract: Let $X, X_1,X_2,\dots$ be independent and identically distributed random vectors taking values in $\mathbb{R}^d$. Assume that $\mathsf{E}X=0$, $\mathsf{E}|X|^{8/3}<\infty$ and that $X$ is not concentrated in a proper subspace of $\mathbb{R}^d$. Let $Y,Y_1,Y_2,\dots$ 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 $Q[S_N]$ and $Q[T_N]$ of the normalized sums $S_N=N^{-1/2}(X_1+\dots+X_N)$ and $T_N=N^{-1/2}(Y_1+\dots+Y_N)$ and prove that
\begin{align*} &\sup_x|\mathsf{P}\{Q[S_N-a]<x\}-\mathsf{P}\{Q[T_N-a]<x\}| &\qquad=O((1+|a|^4)N^{-1}), \qquad a\in\mathbb{R}^d, \end{align*}
provided that $9\le d\le\infty$. 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 $O(N^{-1})$.
Keywords: compound Poisson approximation, accompanying laws, convergence rates, multidimensional spaces, Hilbert spaces, quadratic forms, ellipsoids, hyperboloids.
Received: 18.06.1996
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 2, Pages 189–212
DOI: https://doi.org/10.1137/S0040585X97976131
Bibliographic databases:
Language: English
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
Citation in format AMSBIB
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\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
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\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}
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  • https://www.mathnet.ru/eng/tvp/v42/i2/p308
  • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
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