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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 2, Pages 242–253 (Mi tvp3213)  

This article is cited in 21 scientific papers (total in 21 papers)

On the error of the Gaussian approximation for convolutions

V. V. Yurinskiĭ

Novotcherkassk
Abstract: Let $F_n$ be the distribution in $R^k$ of the sum of independent random vectors $\xi_1,\dots,\xi_n$, and $G_n$ be the normal distribution with the same means and соvariances as $F_n$.
If $\mathfrak L_{\Pi}$ is the Lévy–Prohorov distance between distributions in $R^k$ defined by the Euclidean norm in $R^k$, Theorem 1 yields the estimate
\begin{gather*} \mathfrak L_{\Pi}(F_n,G_n)\le ck^{1/4}\mu_1^{1/4}[|\ln\mu_1|^{1/2}+(\ln k)^{1/2}], \\ \mu_1=\mathbf E|\xi_1-\mathbf E \xi_1|^3+\dots+\mathbf E|\xi_n-\mathbf E \xi_n|^3, \end{gather*}
with $c$ being an absolute constant.
A similar bound holds when $\mathfrak L_{\Pi}$ is defined using a non-Hilbert but sufficiently smooth norm in $R^k$ (Theorem 2).
Finite-dimensional bounds are used in Section 2 to obtain coarse power convergence rate in the multidimensional invariance principle for a random walk.
Received: 16.12.1975
English version:
Theory of Probability and its Applications, 1978, Volume 22, Issue 2, Pages 236–247
DOI: https://doi.org/10.1137/1122030
Bibliographic databases:
Language: Russian
Citation: V. V. Yurinskiǐ, “On the error of the Gaussian approximation for convolutions”, Teor. Veroyatnost. i Primenen., 22:2 (1977), 242–253; Theory Probab. Appl., 22:2 (1978), 236–247
Citation in format AMSBIB
\Bibitem{Yur77}
\by V.~V.~Yurinski{\v\i}
\paper On the error of the Gaussian approximation for convolutions
\jour Teor. Veroyatnost. i Primenen.
\yr 1977
\vol 22
\issue 2
\pages 242--253
\mathnet{http://mi.mathnet.ru/tvp3213}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=517490}
\zmath{https://zbmath.org/?q=an:0378.60008}
\transl
\jour Theory Probab. Appl.
\yr 1978
\vol 22
\issue 2
\pages 236--247
\crossref{https://doi.org/10.1137/1122030}
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  • This publication is cited in the following 21 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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