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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1960 Volume 5, Issue 1, Pages 125–128 (Mi tvp4818)

This article is cited in 17 papers

Short Communications

A Remark on Esseen's Paper “A Moment Inequality with an Application to the Central Limit Theorem”

B. A. Rogozin

Moscow

Abstract: It is proved that
$$\lim_{n\to\infty}\inf_{\substack{-\infty<a<\infty\\<0<\sigma<\infty}}\sup_x\sqrt n\left|F_n(x)-\Phi\left(\frac{x-a}\sigma\right)\right|\leq\frac1{\sqrt{2\pi}}\rho_3,$$
where $\Phi (x)$ is a normal distribution function and $F_n (x)$ is a distribution function of a normed sum of independent identically distributed random variables. The constant $(2\pi)^{-1/2}$ cannot be improved.

Received: 10.12.1959


 English version:
Theory of Probability and its Applications, 1960, 5:1, 114–117


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