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Teoriya Veroyatnostei i ee Primeneniya, 1966, Volume 11, Issue 3, Pages 497–500 (Mi tvp645)  

This article is cited in 9 scientific papers (total in 9 papers)

Short Communications

The accuracy of approximation oi the limit distribution to the distribution of the maximum of sums of independent random variables

B. A. Rogozin

Novosibirsk
Full-text PDF (213 kB) Citations (9)
Abstract: Let $\xi_1\xi_2,\dots$ be a sequence of identically distributed independent random variables n and $S_0=0$, $S_n=\sum_{k=1}^n\xi_k$, $n=1,2,\dots$, $\bar S_n=\max_{0\le k\le n}S_k$, $n=0,1\dots$. Let us suppose that $\mathbf M\xi_1=a>0$, $\beta_3=\mathbf M|\xi_1-a|^3<\infty$, and denote $\sigma^2=\mathbf M(\xi_1-a)^2$. It is established that
$$ \mathbf P\{S_n\le x\}-\mathbf P\{\bar S_n\le x\}\le\frac C{\sqrt n}\max\biggl\{\frac{\beta_3^2}{\sigma^6},\frac{\beta_3^2}{a^6},\frac{(\mathbf M|\xi_1|)^2}{\sigma^2}\biggr\} $$
where $С$ is a constant.
Received: 04.08.1965
English version:
Theory of Probability and its Applications, 1966, Volume 11, Issue 3, Pages 438–441
DOI: https://doi.org/10.1137/1111043
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: B. A. Rogozin, “The accuracy of approximation oi the limit distribution to the distribution of the maximum of sums of independent random variables”, Teor. Veroyatnost. i Primenen., 11:3 (1966), 497–500; Theory Probab. Appl., 11:3 (1966), 438–441
Citation in format AMSBIB
\Bibitem{Rog66}
\by B.~A.~Rogozin
\paper The accuracy of approximation oi the limit distribution to the distribution of the maximum of sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1966
\vol 11
\issue 3
\pages 497--500
\mathnet{http://mi.mathnet.ru/tvp645}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=198530}
\zmath{https://zbmath.org/?q=an:0202.48504}
\transl
\jour Theory Probab. Appl.
\yr 1966
\vol 11
\issue 3
\pages 438--441
\crossref{https://doi.org/10.1137/1111043}
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  • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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