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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1966 Volume 11, Issue 3, Pages 497–500 (Mi tvp645)

This article is cited in 9 papers

Short Communications

The accuracy of approximation oi the limit distribution to the distribution of the maximum of sums of independent random variables

B. A. Rogozin

Novosibirsk

Abstract: Let $\xi_1\xi_2,\dots$ be a sequence of identically distributed independent random variables n and $S_0=0$, $S_n=\sum_{k=1}^n\xi_k$, $n=1,2,\dots$, $\bar S_n=\max_{0\le k\le n}S_k$, $n=0,1\dots$. Let us suppose that $\mathbf M\xi_1=a>0$, $\beta_3=\mathbf M|\xi_1-a|^3<\infty$, and denote $\sigma^2=\mathbf M(\xi_1-a)^2$. It is established that
$$ \mathbf P\{S_n\le x\}-\mathbf P\{\bar S_n\le x\}\le\frac C{\sqrt n}\max\biggl\{\frac{\beta_3^2}{\sigma^6},\frac{\beta_3^2}{a^6},\frac{(\mathbf M|\xi_1|)^2}{\sigma^2}\biggr\} $$
where $Ñ$ is a constant.

Received: 04.08.1965


 English version:
Theory of Probability and its Applications, 1966, 11:3, 438–441

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© Steklov Math. Inst. of RAS, 2024