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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1967 Volume 12, Issue 4, Pages 655–665 (Mi tvp752)

This article is cited in 19 papers

The central limit theorem for sums of functions of independent random variables and for sums of the form $\sum f(2^kt)$

I. A. Ibragimov

Leningrad

Abstract: Let $\varepsilon_1,\varepsilon_2,\dots$ be a sequence of independent random variables and let a random variable $f=f(\varepsilon_1,\varepsilon_2,\dots)$. Consider a sequence of random variables $\{f_j\}$ where $f_j=f(\varepsilon_j,\varepsilon_{j+1},\dots)$. The main result of this paper is
Theorem 2. {\it If
$1)\ \mathbf E|f|^{2+\delta}=\rho_\delta<\infty$ for some $\delta$, $0<\delta\le1$;
$2)\ \mathbf E^{\frac1{2+\delta}}|f-\mathbf E\{f\mid\varepsilon_1,\dots,\varepsilon_n\}|^{2+\delta}\le A2^{-n\alpha}$ where $A$, $\alpha$ are positive constants;
$3)\ \sigma^2=\mathbf Ef_1^2+2\sum_2^\infty\mathbf E\{f_1f_j\}\ne0$ then
$$ \biggl|\mathbf P\biggl\{\frac1{\sigma\sqrt n}\sum_1^nf_j<z\biggr\}-\Phi(z)\biggr|\le C\biggl(\frac{\ln n}{n}\biggr)^{\delta/2}, $$
where $\Phi(z)=\frac1{\sqrt{2\pi}}\int_{-\infty}^ze^{-\frac{x^2}{2}}\,dx$ and $C$ depends on $A$, $\alpha$, $\sigma$, $\rho_\delta$ only}.
This theorem is applied to find distributions of sums $\sum_1^\infty f(2^kt)$.

Received: 15.12.1966


 English version:
Theory of Probability and its Applications, 1967, 12:4, 596–607

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