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Teoriya Veroyatnostei i ee Primeneniya, 1965, Volume 10, Issue 3, Pages 519–526 (Mi tvp547)  

This article is cited in 34 scientific papers (total in 34 papers)

Short Communications

On the closeness of the distributions of the two sums of independent random variables

V. M. Zolotarev

Moscow
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.
Received: 10.05.1965
English version:
Theory of Probability and its Applications, 1965, Volume 10, Issue 3, Pages 472–479
DOI: https://doi.org/10.1137/1110055
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
\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}
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  • https://www.mathnet.ru/eng/tvp547
  • https://www.mathnet.ru/eng/tvp/v10/i3/p519
  • This publication is cited in the following 34 articles:
    1. Hanna Döring, Sabine Jansen, Kristina Schubert, “The method of cumulants for the normal approximation”, Probab. Surveys, 19:none (2022)  crossref
    2. Zhilova M., “Nonclassical Berry-Esseen Inequalities and Accuracy of the Bootstrap”, Ann. Stat., 48:4 (2020), 1922–1939  crossref  isi
    3. Mattner L. Shevtsova I., “An Optimal Berry-Esseen Type Theorem For Integrals of Smooth Functions”, ALEA-Latin Am. J. Probab. Math. Stat., 16:1 (2019), 487–530  crossref  isi
    4. Bobkov S.G., “Asymptotic Expansions For Products of Characteristic Functions Under Moment Assumptions of Non-Integer Orders”, Convexity and Concentration, IMA Volumes in Mathematics and Its Applications, 161, ed. Carlen E. Madiman M. Werner E., Springer, 2017, 297–357  crossref  isi
    5. I. G. Shevtsova, “Moment-Type Estimates for Characteristic Functions with Application to Von Mises Inequality*”, J Math Sci, 214:1 (2016), 119  crossref
    6. Shevtsova I., “On the Accuracy of the Approximation of the Complex Exponent by the First Terms of its Taylor Expansion with Applications”, J. Math. Anal. Appl., 418:1 (2014), 185–210  crossref  mathscinet  isi  elib
    7. Korolev V. Shevtsova I., “An Improvement of the Berry-Esseen Inequality with Applications to Poisson and Mixed Poisson Random Sums”, Scand. Actuar. J., 2012, no. 2, 81–105  crossref  isi
    8. I. S. Tyurin, “On the convergence rate in Lyapunov's theorem”, Theory Probab. Appl., 55:2 (2011), 253–270  mathnet  crossref  crossref  mathscinet  isi
    9. V. Yu. Korolev, I. G. Shevtsova, “An upper estimate for the absolute constant in the Berry–Esseen inequality”, Theory Probab. Appl., 54:4 (2010), 638–658  mathnet  crossref  crossref  mathscinet  isi
    10. Tyurin I.S., “On the accuracy of the Gaussian approximation”, Doklady Mathematics, 80:3 (2009), 840–843  mathnet  mathnet  crossref  mathscinet  zmath  isi
    11. Paulauskas V., “On the rate of convergence to bivariate stable laws”, Lithuanian Mathematical Journal, 49:4 (2009), 426–445  crossref  mathscinet  zmath  isi
    12. I. G. Shevtsova, “Nekotorye otsenki dlya kharakteristicheskikh funktsii s primeneniem k utochneniyu neravenstva Mizesa”, Inform. i ee primen., 3:3 (2009), 69–78  mathnet
    13. Jean-Marie Dufour, Abdeljelil Farhat, Marc Hallin, “Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series”, Journal of Econometrics, 130:1 (2006), 123  crossref
    14. L. Saulis, V. Statulevičius, Limit Theorems of Probability Theory, 2000, 185  crossref
    15. Selected Topics in Characteristic Functions, 1999, 335  crossref
    16. N. P. Salikhov, “On Strengthening Chernoff's Inequality”, Theory Probab. Appl., 37:3 (1993), 564–567  mathnet  mathnet  crossref
    17. Jean-Marie Dufour, Marc Hallin, “Simple exact bounds for distributions of linear signed rank statistics”, Journal of Statistical Planning and Inference, 31:3 (1992), 311  crossref
    18. V. M. Zolotarev, “Limit Theorems as the Stability Ones”, Theory Probab. Appl., 34:1 (1989), 153–163  mathnet  mathnet  crossref  isi
    19. R. Š. Lipcer, A. N. Širyaev, “On the invariance principle for semimartingales with «nonclassical» assumptions”, Theory Probab. Appl., 28:1 (1984), 1–34  mathnet  mathnet  crossref  isi
    20. V. I. Rotar', “On summation of independent variables in a non-classical situation”, Russian Math. Surveys, 37:6 (1982), 151–175  mathnet  crossref  mathscinet  zmath  adsnasa  isi
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