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Teoriya Veroyatnostei i ee Primeneniya, 1966, Volume 11, Issue 4, Pages 632–655 (Mi tvp663)  

This article is cited in 48 scientific papers (total in 49 papers)

On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables

I. A. Ibragimov

Leningrad
Abstract: Let $\{\xi_n\}$ be a sequence of independent identically distributed random variables with a common distribution function (d.f.) $F(x)$. Let us assume that d.f. belongs to the domain of attraction of the Gaussian law. Denote by $F_n(x;A_n,B_n)$ the d.f. of normalized sum $S_n=\frac1{B_n}\sum_1^n\xi_i-A_n$ and let
$$ \delta_n=\inf_{A_n,B_n}\sup_x|F_n(x;A_n,B_n)-\Phi(x)| $$
where $\Phi(x)=\frac1{\sqrt{2\pi}}\int_{-\infty}^xe^{-u^2/2}\,du$.
We investigate in this paper the rate of convergence of $\delta_n$ to 0 and some other related problems. The main results which are also indicative of the other results of the paper are the following theorems.
Theorem 3.1. {\it In order that $\delta_n=O(n^{-\delta/2})$, $0<\delta<1$, it is necessary and sufficient that the following conditions be satisfied}
$$ \sigma^2=\int_{-\infty}^\infty x^2\,dF(x)<\infty,\eqno(3.2) \int_{|x|>z}x^2\,dF(x)=O(|z|^{-\delta}),\quad z\to\infty.\eqno(3.3) $$

Theorem 3.2. {\it In order that $\delta_n=O(n^{-1/2})$ it is necessary and sufficient that conditions (3.1), (3.2) and the following one
$$ \int_{-z}^zx^3\,dF(x)=O(1),\quad z\to\infty\eqno(3.4) $$
be satisfied}.
Received: 06.11.1965
English version:
Theory of Probability and its Applications, 1966, Volume 11, Issue 4, Pages 559–579
DOI: https://doi.org/10.1137/1111061
Bibliographic databases:
Language: Russian
Citation: I. A. Ibragimov, “On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables”, Teor. Veroyatnost. i Primenen., 11:4 (1966), 632–655; Theory Probab. Appl., 11:4 (1966), 559–579
Citation in format AMSBIB
\Bibitem{Ibr66}
\by I.~A.~Ibragimov
\paper On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1966
\vol 11
\issue 4
\pages 632--655
\mathnet{http://mi.mathnet.ru/tvp663}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=212853}
\zmath{https://zbmath.org/?q=an:0161.15207}
\transl
\jour Theory Probab. Appl.
\yr 1966
\vol 11
\issue 4
\pages 559--579
\crossref{https://doi.org/10.1137/1111061}
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  • This publication is cited in the following 49 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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