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Teoriya Veroyatnostei i ee Primeneniya, 1960, Volume 5, Issue 1, Pages 103–113
(Mi tvp4816)
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This article is cited in 17 scientific papers (total in 17 papers)
Short Communications
On a Uniform Limit Theorem of A. N. Kolmogorov
Yu. V. Prokhorov V. A. Steklov Mathematical Institute, USSR Academy of Sciences
Abstract:
Let $\xi_1,\xi_2,\dots,\xi_n,\dots$ be a sequence of independent identically distributed random variables. Put
$F(x)=\mathbf P\left\{{\xi_j<x}\right\}$, $F^n(x)=\mathbf P\left\{{\xi_1+\cdots+\xi_n<x} \right\}$ and
$$\psi(n)=\sup\limits_f\inf\limits_{G\in\mathfrak G}\sup\limits_x\left|{F^n(x)-G(x)}\right|,$$ where $\mathfrak{G}$ is a set of all infinitely divisible laws.
Then, there exist two absolute constants $C'$ and $C''$ such that $$C'n^{-1}(\log n)^{-1}<\psi(n)< C''n^{-1/3}(\log n )^2.$$ The right-hand inequality $(*)$ is an improvement of Kolmogorov’s estimate [8]: $\psi(n)< C''n^{-1/5}.$
Received: 16.10.1959
Citation:
Yu. V. Prokhorov, “On a Uniform Limit Theorem of A. N. Kolmogorov”, Teor. Veroyatnost. i Primenen., 5:1 (1960), 103–113; Theory Probab. Appl., 5:1 (1960), 98–106
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