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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 4, Pages 655–665
(Mi tvp752)
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This article is cited in 19 scientific papers (total in 19 papers)
The central limit theorem for sums of functions of independent random variables and for sums of the form $\sum f(2^kt)$
I. A. Ibragimov Leningrad
Abstract:
Let $\varepsilon_1,\varepsilon_2,\dots$ be a sequence of independent random variables and let a random variable $f=f(\varepsilon_1,\varepsilon_2,\dots)$. Consider a sequence of random variables $\{f_j\}$ where $f_j=f(\varepsilon_j,\varepsilon_{j+1},\dots)$. The main result of this paper is
Theorem 2. {\it If
$1)\ \mathbf E|f|^{2+\delta}=\rho_\delta<\infty$ for some $\delta$, $0<\delta\le1$;
$2)\ \mathbf E^{\frac1{2+\delta}}|f-\mathbf E\{f\mid\varepsilon_1,\dots,\varepsilon_n\}|^{2+\delta}\le A2^{-n\alpha}$ where $A$, $\alpha$ are positive constants;
$3)\ \sigma^2=\mathbf Ef_1^2+2\sum_2^\infty\mathbf E\{f_1f_j\}\ne0$ then
$$
\biggl|\mathbf P\biggl\{\frac1{\sigma\sqrt n}\sum_1^nf_j<z\biggr\}-\Phi(z)\biggr|\le C\biggl(\frac{\ln n}{n}\biggr)^{\delta/2},
$$
where $\Phi(z)=\frac1{\sqrt{2\pi}}\int_{-\infty}^ze^{-\frac{x^2}{2}}\,dx$ and $C$ depends on $A$, $\alpha$, $\sigma$, $\rho_\delta$ only}.
This theorem is applied to find distributions of sums $\sum_1^\infty f(2^kt)$.
Received: 15.12.1966
Citation:
I. A. Ibragimov, “The central limit theorem for sums of functions of independent random variables and for sums of the form $\sum f(2^kt)$”, Teor. Veroyatnost. i Primenen., 12:4 (1967), 655–665; Theory Probab. Appl., 12:4 (1967), 596–607
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