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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 4, Pages 675–688
(Mi tvp3619)
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This article is cited in 2 scientific papers (total in 2 papers)
On approximation of convolutions by normal laws
V. V. Yurinskiĭ Novočerkassk
Abstract:
Let $F_n$ be the distribution of $\xi_1+\dots+\xi_n$, where $\xi_i$ are independent random vectors with values in $R^k$; $G_n$ is the Gaussian distribution in $R^k$ with mean and covariances equal to those of $F_n$. Let $\mathfrak L_{\Pi}(F,G)$ be the Lévy–Prokhorov distance between $k$-dimensional distributions defined according to the norm $|\cdot|$ in $R^k$.
The main result of the paper is the following
Theorem 1.{\it If $|\xi_i-\mathbf E\xi_i|\le\nu$ with probability $1$ and for all $t\in R^k$
$$
\mathbf E(\xi_1+\dots+\xi_n-\mathbf E(\xi_1+\dots+\xi_n),t)^2\le(t,t),
$$
then, for $\nu<1$,
$$
\mathfrak L_{\Pi}(F_n,G_n)\le c\nu\biggl(\ln\frac{1}{\nu}\biggr)^3
$$
where the constant $c$ depends on the dimension $k$ and on the choice of the norm $|\cdot|$ but not
on characteristics of $F_n$ or $G_n$.}
Received: 06.04.1976
Citation:
V. V. Yurinskiǐ, “On approximation of convolutions by normal laws”, Teor. Veroyatnost. i Primenen., 22:4 (1977), 675–688; Theory Probab. Appl., 22:4 (1978), 653–667
Linking options:
https://www.mathnet.ru/eng/tvp3619 https://www.mathnet.ru/eng/tvp/v22/i4/p675
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