Zero biasing and a discrete central limit theorem
Goldstein, Larry ; Xia, Aihua
Ann. Probab., Tome 34 (2006) no. 1, p. 1782-1806 / Harvested from Project Euclid
We introduce a new family of distributions to approximate ℙ(W∈A) for A⊂{…, −2, −1, 0, 1, 2, …} and W a sum of independent integer-valued random variables ξ1, ξ2, …, ξn with finite second moments, where, with large probability, W is not concentrated on a lattice of span greater than 1. The well-known Berry–Esseen theorem states that, for Z a normal random variable with mean $\mathbb {E}(W)$ and variance Var (W), ℙ(Z∈A) provides a good approximation to ℙ(W∈A) for A of the form (−∞, x]. However, for more general A, such as the set of all even numbers, the normal approximation becomes unsatisfactory and it is desirable to have an appropriate discrete, nonnormal distribution which approximates W in total variation, and a discrete version of the Berry–Esseen theorem to bound the error. In this paper, using the concept of zero biasing for discrete random variables (cf. Goldstein and Reinert [J. Theoret. Probab. 18 (2005) 237–260]), we introduce a new family of discrete distributions and provide a discrete version of the Berry–Esseen theorem showing how members of the family approximate the distribution of a sum W of integer-valued variables in total variation.
Publié le : 2006-09-14
Classification:  Stein’s method,  integer-valued random variables,  total variation,  60F05,  60G50
@article{1163517224,
     author = {Goldstein, Larry and Xia, Aihua},
     title = {Zero biasing and a discrete central limit theorem},
     journal = {Ann. Probab.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1782-1806},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1163517224}
}
Goldstein, Larry; Xia, Aihua. Zero biasing and a discrete central limit theorem. Ann. Probab., Tome 34 (2006) no. 1, pp.  1782-1806. http://gdmltest.u-ga.fr/item/1163517224/