Abstract:
Let $\{\xi_j\}$, $j=1,2,\dots,n$ (resp. $\{\eta_j\}$, $j=1,2,\dots,n$) be independent random variables with distribution functions $\{F_j\}$, $j=1,2,\dots,n$ (resp. $\{G_j\}$, $j=1,2,\dots,n$) and let $F$ (resp. $G$) be the distribution function of the sum $\xi=\xi_1+\dots+\xi_n$ (resp. $\eta=\eta_1+\dots+\eta_n$).
Let us denote
$$
\mu(k)=\sum_{j=1}^n\biggl|\int x^kd(F_j-G_j)\bigr|,\quad \nu(r)=\sum_{j=1}^n\int|x|^r|d(F_j-G_j)|.
$$
We suppose that $\mu(0)=\mu(1)=\dots=\mu(m)=0$ and $\nu(r)$ exist for some $r$, $m\le r\le m+1$. In this case
a) if the distribution of $\eta$ has a density bounded by a constant $q$, then
$$
|F(x)-G(x)|<C[\nu(r)q^r]^\frac1{1+r},\eqno{(\text*)}
$$
b) if $F$ and $G$ are lattice distributions with the same points of discontinuity and the same largest common factor of the length of the intervals between jumps $h$, then
$$
|F(x)-G(x)|<C_1[\nu(r)h^{-r}]\eqno{(\text{**})}
$$
where $C$ and $C_1$ are constants depending only on $m$ and $r$.
In the case a) an estimation of the type (**), which is better then one of the type (*) can be achieved only when some additional requirements on $\xi_j$ are satisfied. The estimations (*) and (**) make it possible to formulate some sufficient conditions for $F$ to converge to infinitely divisible distribution $G$ when the summands $\xi_j$ are not necessarily uniformly infinitesimal.
Citation:
V. M. Zolotarev, “On the closeness of the distributions of the two sums of independent random variables”, Teor. Veroyatnost. i Primenen., 10:3 (1965), 519–526; Theory Probab. Appl., 10:3 (1965), 472–479
\Bibitem{Zol65}
\by V.~M.~Zolotarev
\paper On the closeness of the distributions of the two sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1965
\vol 10
\issue 3
\pages 519--526
\mathnet{http://mi.mathnet.ru/tvp547}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=189109}
\zmath{https://zbmath.org/?q=an:0214.17402}
\transl
\jour Theory Probab. Appl.
\yr 1965
\vol 10
\issue 3
\pages 472--479
\crossref{https://doi.org/10.1137/1110055}
Linking options:
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