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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 1, Pages 149–174 (Mi tvp5363)

This article is cited in 5 papers

Convergence rate of random geometric sum distributions to the Laplace law

N. A. Slepov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: In this paper we modify the Stein method and the auxiliary technique of distributional transformations of random variables. This enables us to estimate the convergence rate of distributions of normalized geometric sums to the Laplace law. For independent summands, the developed approach provides an optimal estimate involving the ideal metric of order 3. New results are also obtained for the Kolmogorov and Kantorovich metrics.

Keywords: Stein's method, geometric random sum, zero-bias transform, equilibrium transform, convergence rate to the Laplace distribution, analogue of the Berry–Esseen inequality, optimal estimate.

Received: 08.10.2019
Revised: 02.09.2020
Accepted: 04.08.2020

DOI: 10.4213/tvp5363


 English version:
Theory of Probability and its Applications, 2021, 66:1, 121–141

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