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JOURNALS // Sistemy i Sredstva Informatiki [Systems and Means of Informatics] // Archive

Sistemy i Sredstva Inform., 2012 Volume 22, Issue 1, Pages 180–204 (Mi ssi274)

This article is cited in 3 papers

On nonuniform estimates of the rate of convergence in the central limit theorem

M. E. Grigor'eva, S. V. Popov

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: It is shown that in the nonuniform analog of the Berry–Esseen inequality $(1+|x|^3)|F_n(xB_n)-\Phi(x)|\le \left(C/{B_n^3}\right)\sum\limits_{k=1}^n\beta_k$, $n\ge1$, $x\in\mathbb R$, where $F_n(x)$ is the distribution function of the sum of $n$ independent random variables $X_1, \dots ,X_n$ with $E X_k=0$, $E X_k^2=\sigma_k^2$; $\beta_k=E |X_k|^3<\infty$, $k=1,\dots,n$; $B_n^2=\sigma_1^2+\dotsb+\sigma_n^2$; $\Phi(x)$ is the standard normal distribution function, the absolute constant $C$ satisfies the inequality $C\le 22.2417$.

Keywords: central limit theorem; nonuniform estimate of convergence rate; Berry–Esseen inequality; absolute constant.

Received: 03.06.2012



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