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Short Communications
An inequality for a multidimensional characteristic function
N. G. Gamkrelidzeab a Gubkin Russian State University of Oil and Gas
b A. Razmadze Mathematical Institute, Georgian Academy of Sciences
Abstract:
Let $\xi $ be a vector-valued random variable in $\mathbf{R}^s$ and a corresponding density function $p_\xi(x)$ be “close” to the “standard”normal density. Under this condition an inequality for a characteristic function is proved. The inequality obtained is of interest for the problem of a lower estimator of the rate of convergence in the local limit theorem for densities. An analogous inequality for a lattice distribution was investigated in [N. G. Gamkrelidze, Litovsk. Mat. Sb., 7 (1967), pp. 405–408 (in Russian)] and was given in [V. V. Petrov, Sums of Independent Random Variables, Springer-Verlag, Berlin, New York, 1975] and [Yu. V. Prohorov and Yu. A. Rozanov, Probability Theory: Basic Concepts, Limit Theorems, and Random Processes, Springer-Verlag, Berlin, New York, 1969].
Keywords:
vector-valued random variable, density function, standard normal density, characteristic function, local limit theorem.
Received: 16.10.1999
Citation:
N. G. Gamkrelidze, “An inequality for a multidimensional characteristic function”, Teor. Veroyatnost. i Primenen., 45:1 (2000), 175–177; Theory Probab. Appl., 45:1 (2001), 133–135
Linking options:
https://www.mathnet.ru/eng/tvp331https://doi.org/10.4213/tvp331 https://www.mathnet.ru/eng/tvp/v45/i1/p175
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