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Teoriya Veroyatnostei i ee Primeneniya, 1976, Volume 21, Issue 1, Pages 107–122
(Mi tvp3278)
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This article is cited in 9 scientific papers (total in 9 papers)
On the accuracy of approximation in the central limit theorem
В. A. Lifšic Leningrad
Abstract:
Let
$$
\Delta_n=\sup_x|\mathbf P(\xi_1+\dots+\xi_n<x\sqrt n)-\Phi(x)|,
$$
where $\xi_1,\xi_2,\dots$ are independent identically distributed random variables with the distribution function $F(x)$, $\mathbf E|\xi_1|^2=1$, $\mathbf E\xi_1=0$, and where $\Phi$ is the standard normal distribution function.
We investigate necessary and sufficient conditions on $F(x)$ for the following two series to converge:
$$
\sum h(\sqrt n)\frac{1}{n}\Delta_n<\infty,\quad\sum h(\sqrt n)n^{-3/2}\Delta_n<\infty,
$$
where
$$
h(y)>0,\qquad h(y)\uparrow,\qquad h(y)/y\downarrow.
$$
The case of Chebyshev–Gramer asymptotic expansions is also discussed.
Received: 27.08.1974
Citation:
В. A. Lifšic, “On the accuracy of approximation in the central limit theorem”, Teor. Veroyatnost. i Primenen., 21:1 (1976), 107–122; Theory Probab. Appl., 21:1 (1976), 108–124
Linking options:
https://www.mathnet.ru/eng/tvp3278 https://www.mathnet.ru/eng/tvp/v21/i1/p107
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