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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1966 Volume 11, Issue 1, Pages 108–119 (Mi tvp570)

This article is cited in 32 papers

An absolute estimate of the remainder in the central limit theorem

V. M. Zolotarev

Moscow

Abstract: Let $\xi_1,\dots\xi_n$ be independent random varibles with zero means, variances $\sigma_1,\dots\sigma_n$ and third absolute moments $\beta_1\dots\beta_n$. Let us denote
$$ \sigma^2=\sum_j\sigma_j^2,\quad\varepsilon=\biggl(\sum_j\beta_j\biggr)\biggr/\sigma^3, $$
and let $F(x)$ be the distribution function of the sum $\xi_1+\dots+\xi_n$ and $\Phi(x)$ be the distribution function of the normal $(0,1)$ law. Let further $\varepsilon$ be equal to a fixed positive number and $D(\varepsilon)$ denote the least value for which
$$ \sup_x|F(x\sigma)-\Phi(x)|\le D(\varepsilon)\varepsilon. $$
Estimates of $D(\varepsilon)$ for all $\varepsilon$, $0\le\varepsilon\le0.79$ are obtained and the inequality
$$ \sup_\varepsilon D(\varepsilon)<1.322 $$
is proved.

Received: 04.11.1965


 English version:
Theory of Probability and its Applications, 1966, 11:1, 95–105

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