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Zapiski Nauchnykh Seminarov POMI, 2023, Volume 525, Pages 86–95 (Mi znsl7369)  

This article is cited in 1 scientific paper (total in 1 paper)

Estimates of stability with respect to the number of summands for distributions of successive sums of i.i.d. vectors

A. Yu. Zaitsevab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Saint Petersburg State University
Full-text PDF (431 kB) Citations (1)
References:
Abstract: Let $X_1, X_2,\dots$ be i.i.d. random vectors in $\mathbf R^d$ with distribution $F$. Then $S_n = X_1+\dots+X_n$ has distribution $F^n$ (degree is understood in the sense of convolutions). Let $ \rho(F,G) = \sup_A |F\{A\} - G\{A\}| $, where the supremum is taken over all convex subsets of $\mathbf R^d$. For any nontrivial distribution $F$ there is $c_1(F)$ such that $ \rho(F^n, F^{n+1})\leq \frac{c_1(F)}{\sqrt n} $ for any natural $n$. The distribution $F$ is called trivial if it is concentrated on a hyperplane that does not contain the origin. Clearly, for such $F$, $ \rho(F^n, F^{n+1}) = 1 $. A similar result for the Prokhorov distance is also formulated. For any $d$-dimensional distribution $F$ there is $c_2(F)$ such that $ (F^n)\{A\}\le (F^{n+1})\{A^{c_2(F)}\}+\frac{c_2(F)}{\sqrt{n}}$ and $(F^{n+1})\{A\}\leq (F^n)\{A^{c_2(F)}\}+\frac{c_2(F)} {\sqrt{n}} $ for all Borel set $ A $ and all natural $n$. Here $A^{\varepsilon }$ is $ \varepsilon $-neighborhood of the set $ A $.
Key words and phrases: sums of independent random variables, proximity of successive convolutions, convex sets, Prokhorov distance, inequalities.
Funding agency Grant number
Ministry of Science and Higher Education of the Russian Federation 075-15-2022-289
Received: 27.10.2023
Document Type: Article
Language: Russian
Citation: A. Yu. Zaitsev, “Estimates of stability with respect to the number of summands for distributions of successive sums of i.i.d. vectors”, Probability and statistics. Part 34, Zap. Nauchn. Sem. POMI, 525, POMI, St. Petersburg, 2023, 86–95
Citation in format AMSBIB
\Bibitem{Zai23}
\by A.~Yu.~Zaitsev
\paper Estimates of stability with respect to the number of summands for distributions of successive sums of i.i.d. vectors
\inbook Probability and statistics. Part~34
\serial Zap. Nauchn. Sem. POMI
\yr 2023
\vol 525
\pages 86--95
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl7369}
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  • https://www.mathnet.ru/eng/znsl/v525/p86
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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