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Teoriya Veroyatnostei i ee Primeneniya, 1965, Volume 10, Issue 2, Pages 231–254 (Mi tvp519)  

This article is cited in 127 scientific papers (total in 127 papers)

Some limit theorems for large deviations

S. V. Nagaev

Tashkent
Abstract: Let $\xi_1,\xi_2,\dots$ be a sequence of independent random variables with the same distribution function $F(x)$, $\mathbf E\xi_i=0$ and $\mathbf D\xi_i=1$. Let $F_n(x)$ be the distribution function of $\xi_k$. Let us denote $c_m=\mathbf E|\xi_k|^m$.
It is proved that if $c_m<\infty$ than the following estimate for $1-F_n(x)$
$$ 1-F_n(x)<n(1-F(y))+\exp\biggl\{2n\biggl[\frac{m\ln y-\ln nc_mK_m}y\biggr]^2+1\biggr\}\biggl[\frac{nc_mK_m}{y^m}\biggr]^{\frac xy} $$
holds true where $x>0$, $y>0$ and $K_m=\bigl[1+\frac{(m+1)^{m+2}}{e^m}\bigr]$.
Then the optimal estimate (in the sense of dependence on $x$) of the remainder term in the central limit theorem when the condition $c_3<\infty$ is satisfied is given. Namely we prove that
$$ |F_n(x\sqrt n)-\Phi(x)|<\frac{Lc_3}{\sqrt n(1+|x|^3)} $$
where $\Phi(x)$ it the standard normal law and $L$ is an absolute constant.
Besides Linnik–Petrov's results concerning large deviations are improved.
In conclusion an asymptotic expression for the remainder term in the global version of the central limit theorem when $c_3<\infty$ is obtained.
Received: 06.01.1964
English version:
Theory of Probability and its Applications, 1965, Volume 10, Issue 2, Pages 214–235
DOI: https://doi.org/10.1137/1110027
Bibliographic databases:
Language: Russian
Citation: S. V. Nagaev, “Some limit theorems for large deviations”, Teor. Veroyatnost. i Primenen., 10:2 (1965), 231–254; Theory Probab. Appl., 10:2 (1965), 214–235
Citation in format AMSBIB
\Bibitem{Nag65}
\by S.~V.~Nagaev
\paper Some limit theorems for large deviations
\jour Teor. Veroyatnost. i Primenen.
\yr 1965
\vol 10
\issue 2
\pages 231--254
\mathnet{http://mi.mathnet.ru/tvp519}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=185644}
\zmath{https://zbmath.org/?q=an:0144.18704}
\transl
\jour Theory Probab. Appl.
\yr 1965
\vol 10
\issue 2
\pages 214--235
\crossref{https://doi.org/10.1137/1110027}
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  • https://www.mathnet.ru/eng/tvp/v10/i2/p231
  • This publication is cited in the following 127 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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