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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1977 Volume 22, Issue 4, Pages 897–900 (Mi tvp3641)

This article is cited in 5 papers

Short Communications

A multidimensional generalization of Esseen's inequality for distribution functions

N. G. Gamkrelidze

Tbilisi

Abstract: Let $\xi$ and $\eta$ be $s$-dimensional random vectors with distribution functions $F(x)$, $G(x)$ and characteristic functions $f(t)$, $g(t)$ respectively.
Theorem. {\it For arbitrary $T>0$,
$$ \sup_x|F(x)-G(x)|\le 2\biggl[\frac{1}{(2\pi)^s}\int_{-T}^T|\Delta(t)|\,dt+ \sum_{k=1}^{s-1}\frac{1}{(2\pi)^{s-k}}\sum_{i(k)}\int_{-T}^T|\Delta_{i(k)}(t)|\,dt\biggr]+\frac{A}{T}C(s), $$
where
$$ C(s)=\frac{24\ln 2}{\pi}+\frac{8s^{1/3}}{(2\pi\ln4/3)^{1/3}},\qquad A=\sup_x\frac{\partial G}{\partial x_1}+\dots+\sup_x\frac{\partial G}{\partial x_s} $$
and $\Delta(t)$, $\Delta_{i(k)}(t)$ are defined by} (3), $i(k)=\{i_1,\dots,i_k\}$ is an ordered sample from the sequence $(1,\dots,s)$.

Received: 12.08.1976


 English version:
Theory of Probability and its Applications, 1978, 22:4, 877–880

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