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Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 1, Pages 109–121
(Mi tvp2684)
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This article is cited in 15 scientific papers (total in 15 papers)
On strengthening of Lyapunov type estimates (the case when summands distributions are close to the normal one)
S. V. Nagaeva, V. I. Rotar'b a Novosibirsk
b Moscow
Abstract:
Let $\{X_j\}_{j=1}^n$ be a sequence of independent random variables. Put
\begin{gather*}
\mathbf MX_j=0,\quad\mathbf MX_j^2=\sigma_j^2,\quad B^2=\sum_{j=1}^n\sigma_j^2,\quad C=\sum_{j=1}^n\sigma_j^3;
\\
\nu_j=3\int_{-\infty}^\infty x^2|F_j(x)-\Phi(x/\sigma_j)|\,dx
\end{gather*}
where $F_j(x)=\mathbf P\{X_j<x\}$, $\Phi(x)=(2\pi)^{-1/2}\int_{-\infty}^xe^{u^2/2}\,du$. Let
$$
\Lambda=\sum_{j=1}^n\nu_j,\quad\delta=\sup_x\biggl|\mathbf P\biggl\{\sum_{j=1}^nX_j<Bx\biggr\}-\Phi(x)\biggr|.
$$
In the paper, some estimates of $\delta$ are obtained. The simpliest consequence from these estimates is the following:
$$
\delta\le L\max\biggl\{\frac\Lambda{B^3};\biggl(\frac{\Lambda}{B^3}\biggr)^{1/4}\biggl(\frac C{B^3}\biggr)^{3/4}\biggr\}
$$
where $L$ is an absolute constant.
Received: 04.03.1971
Citation:
S. V. Nagaev, V. I. Rotar', “On strengthening of Lyapunov type estimates (the case when summands distributions are close to the normal one)”, Teor. Veroyatnost. i Primenen., 18:1 (1973), 109–121; Theory Probab. Appl., 18:1 (1973), 107–119
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https://www.mathnet.ru/eng/tvp2684 https://www.mathnet.ru/eng/tvp/v18/i1/p109
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