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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1966 Volume 11, Issue 4, Pages 632–655 (Mi tvp663)

This article is cited in 48 papers

On the accuracy of Gaussian approximation to the distribution functions of sums of independent random variables

I. A. Ibragimov

Leningrad

Abstract: Let $\{\xi_n\}$ be a sequence of independent identically distributed random variables with a common distribution function (d.f.) $F(x)$. Let us assume that d.f. belongs to the domain of attraction of the Gaussian law. Denote by $F_n(x;A_n,B_n)$ the d.f. of normalized sum $S_n=\frac1{B_n}\sum_1^n\xi_i-A_n$ and let
$$ \delta_n=\inf_{A_n,B_n}\sup_x|F_n(x;A_n,B_n)-\Phi(x)| $$
where $\Phi(x)=\frac1{\sqrt{2\pi}}\int_{-\infty}^xe^{-u^2/2}\,du$.
We investigate in this paper the rate of convergence of $\delta_n$ to 0 and some other related problems. The main results which are also indicative of the other results of the paper are the following theorems.
Theorem 3.1. {\it In order that $\delta_n=O(n^{-\delta/2})$, $0<\delta<1$, it is necessary and sufficient that the following conditions be satisfied}
$$ \sigma^2=\int_{-\infty}^\infty x^2\,dF(x)<\infty,\eqno(3.2) \int_{|x|>z}x^2\,dF(x)=O(|z|^{-\delta}),\quad z\to\infty.\eqno(3.3) $$

Theorem 3.2. {\it In order that $\delta_n=O(n^{-1/2})$ it is necessary and sufficient that conditions (3.1), (3.2) and the following one
$$ \int_{-z}^zx^3\,dF(x)=O(1),\quad z\to\infty\eqno(3.4) $$
be satisfied}.

Received: 06.11.1965


 English version:
Theory of Probability and its Applications, 1966, 11:4, 559–579

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