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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1960 Volume 5, Issue 1, Pages 103–113 (Mi tvp4816)

This article is cited in 16 papers

Short Communications

On a Uniform Limit Theorem of A. N. Kolmogorov

Yu. V. Prokhorov

V. A. Steklov Mathematical Institute, USSR Academy of Sciences

Abstract: Let $\xi_1,\xi_2,\dots,\xi_n,\dots$ be a sequence of independent identically distributed random variables. Put $F(x)=\mathbf P\left\{{\xi_j<x}\right\}$, $F^n(x)=\mathbf P\left\{{\xi_1+\cdots+\xi_n<x} \right\}$ and
$$\psi(n)=\sup\limits_f\inf\limits_{G\in\mathfrak G}\sup\limits_x\left|{F^n(x)-G(x)}\right|,$$
where $\mathfrak{G}$ is a set of all infinitely divisible laws.
Then, there exist two absolute constants $C'$ and $C''$ such that
$$C'n^{-1}(\log n)^{-1}<\psi(n)< C''n^{-1/3}(\log n )^2.$$
The right-hand inequality $(*)$ is an improvement of Kolmogorov’s estimate [8]: $\psi(n)< C''n^{-1/5}.$

Received: 16.10.1959


 English version:
Theory of Probability and its Applications, 1960, 5:1, 98–106


© Steklov Math. Inst. of RAS, 2024