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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 4, Pages 897–900
(Mi tvp3641)
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This article is cited in 5 scientific papers (total in 5 papers)
Short Communications
A multidimensional generalization of Esseen's inequality for distribution functions
N. G. Gamkrelidze Tbilisi
Abstract:
Let $\xi$ and $\eta$ be $s$-dimensional random vectors with distribution functions $F(x)$, $G(x)$ and characteristic functions $f(t)$, $g(t)$ respectively.
Theorem. {\it For arbitrary $T>0$,
$$
\sup_x|F(x)-G(x)|\le 2\biggl[\frac{1}{(2\pi)^s}\int_{-T}^T|\Delta(t)|\,dt+
\sum_{k=1}^{s-1}\frac{1}{(2\pi)^{s-k}}\sum_{i(k)}\int_{-T}^T|\Delta_{i(k)}(t)|\,dt\biggr]+\frac{A}{T}C(s),
$$
where
$$
C(s)=\frac{24\ln 2}{\pi}+\frac{8s^{1/3}}{(2\pi\ln4/3)^{1/3}},\qquad
A=\sup_x\frac{\partial G}{\partial x_1}+\dots+\sup_x\frac{\partial G}{\partial x_s}
$$
and $\Delta(t)$, $\Delta_{i(k)}(t)$ are defined by} (3), $i(k)=\{i_1,\dots,i_k\}$ is an ordered sample from the sequence $(1,\dots,s)$.
Received: 12.08.1976
Citation:
N. G. Gamkrelidze, “A multidimensional generalization of Esseen's inequality for distribution functions”, Teor. Veroyatnost. i Primenen., 22:4 (1977), 897–900; Theory Probab. Appl., 22:4 (1978), 877–880
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https://www.mathnet.ru/eng/tvp3641 https://www.mathnet.ru/eng/tvp/v22/i4/p897
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