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