|
Teoriya Veroyatnostei i ee Primeneniya, 1970, Volume 15, Issue 2, Pages 320–325
(Mi tvp1830)
|
|
|
|
This article is cited in 17 scientific papers (total in 17 papers)
Short Communications
On the convergence speed of distribution of maximum sums of independent random variables
S. V. Nagaev Novosibirsk
Abstract:
Let $\xi_n$, $n=1,2,\dots,$ be a sequence of independent identically distributed random variables with $\mathbf M\xi=0$. Put $\sigma^2=\mathbf D\xi_1$, $c_3=\mathbf M|\xi_1|^3$, $S_n=\sum_{i=1}^n\xi_i$, $S_n^-=\max\limits_{1\le i\le n}S_i$, $\overline F_n(x)=\mathbf P(\overline S_n<x)$.
The following estimate is obtained: there exists an absolute constant $K$ such that
$$
\sup_{0\le x<\infty}|\overline F_n(x\sigma\sqrt n)-\biggl(\frac2\pi\biggr)^{1/2}\int_0^xe^{-u^{2/3}}\,du|<K\frac{c_3^2}{\sigma^6\sqrt n}.
$$
Received: 17.09.1968
Citation:
S. V. Nagaev, “On the convergence speed of distribution of maximum sums of independent random variables”, Teor. Veroyatnost. i Primenen., 15:2 (1970), 320–325; Theory Probab. Appl., 15:2 (1970), 309–314
Linking options:
https://www.mathnet.ru/eng/tvp1830 https://www.mathnet.ru/eng/tvp/v15/i2/p320
|
Statistics & downloads: |
Abstract page: | 176 | Full-text PDF : | 81 |
|