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Teoriya Veroyatnostei i ee Primeneniya, 1982, Volume 27, Issue 2, Pages 270–278
(Mi tvp2344)
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This article is cited in 29 scientific papers (total in 29 papers)
On the accuracy of Gaussian approximation for the probability of hitting a ball
V. V. Yurinskiĭ Novosibirsk
Abstract:
Let $X_1,X_2,\dots$ be independent random vectors in a separable Hilbert space $H$ such that
$\mathbf EX_j=0$, $\mathbf E|X_j|^3\le L$ and $B$ is their common covariance operator. Let $Y$ be a centered Gaussian vector with a covariance operator $B/\operatorname{Sp} B$.
Theorem 1. {\it For $a\in H$, $r\ge 0$
$$
|\mathbf P\{|a+S_n|<r\}-\mathbf P\{|a+Y|<r\}|\le cL(\operatorname{Sp}B)^{-1/2}(1+|a|^3)n^{-1/2},
$$
where $S_n=(X_1+\dots+X_n)(n\operatorname{Sp}B)^{-1/2}$ and $c$ depends on the spectrum of $B/\operatorname{Sp}B$ only.}
The proof is based on the combination of results [2], [3].
Received: 22.01.1981
Citation:
V. V. Yurinskiǐ, “On the accuracy of Gaussian approximation for the probability of hitting a ball”, Teor. Veroyatnost. i Primenen., 27:2 (1982), 270–278; Theory Probab. Appl., 27:2 (1983), 280–289
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https://www.mathnet.ru/eng/tvp2344 https://www.mathnet.ru/eng/tvp/v27/i2/p270
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