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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 4, Pages 666–677
(Mi tvp753)
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This article is cited in 40 scientific papers (total in 40 papers)
A generalization of the Lindeberg–Feller theorem
V. M. Zolotarev Moscow
Abstract:
Let $\xi_n=\xi_{n1}+\dots+\xi_{nj}\dots$ be a sequence of sums of independent random variables with a finite or infinite number of summands. Suppose that
$$
\mathbf E\xi_{nj}=0\quad\sigma_{nj}^2=\mathbf E\xi_{nj}^2<\infty\quad\sum_j\sigma_{nj}^2=1
$$
and denote
\begin{gather*}
F_n(x)=\mathbf P\{\xi_n<x\},\quad F_{nj}(x)=\mathbf P\{\xi_{nj}<x\},
\\
\Phi(x)=\frac1{\sqrt{2\pi}}\int_{-\infty}^x\exp(-t^2/2)\,dt,\quad \Phi_{nj}(x)=\Phi(x/\sigma_{nj}).
\end{gather*}
In the present paper the following theorem is proved: {\it for $\sup\limits_x|F_n(x)-\Phi(x)|\to0$ as $n\to\infty$ thе necessary and sufficient conditions are
$1^\circ\ \sup\limits_jL(F_{nj},\Phi_{nj})\to0$ ($L$ is the Lévy metric);
$2^\circ$ for every positive $\varepsilon$
$$
\sum_j\int_{|x|\ge\varepsilon}x^2d(F_{nj}-\Phi_{nj})\to0.
$$ }
Received: 18.02.1967
Citation:
V. M. Zolotarev, “A generalization of the Lindeberg–Feller theorem”, Teor. Veroyatnost. i Primenen., 12:4 (1967), 666–677; Theory Probab. Appl., 12:4 (1967), 608–618
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