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JOURNALS // Informatika i Ee Primeneniya [Informatics and its Applications] // Archive

Inform. Primen., 2011 Volume 5, Issue 3, Pages 64–66 (Mi ia160)

This article is cited in 11 papers

On the Berry–Esseen type inequalities for poisson random sums

V. Yu. Korolevab, I. G. Shevtsovaab, S. Ya. Shorgina

a Institute for Problems of Informatics RAS
b M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: For the uniform distance between the distribution function $\Phi(x)$ of the standard normal random variable and the distribution function $F_\lambda(x)$ of the Poisson random sum of independent identically distributed random variables $X_1, X_2,\dots$ with finite third absolute moment, $\lambda>0$ being the parameter of the Poisson index, it is proved the inequality
$$ \sup_{x}|F_\lambda(x)-\Phi(x)|\le 0.4532\frac{\mathsf E|X_1-\mathsf E X_1|^3}{(\mathsf D X_1)^{3/2}\sqrt{\lambda}}\,,\quad \lambda>0, $$
which is similar to the Berry–Esseen estimate and uses the central moments, unlike the known analogous inequalities based on the noncentral moments.

Keywords: Poisson random sum; central limit theorem; convergence rate estimate; Berry–Esseen inequality; absolute constant.



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