Bad Rates of Convergence for the Central Limit Theorem in Hilbert Space
Rhee, WanSoo ; Talagrand, Michel
Ann. Probab., Tome 12 (1984) no. 4, p. 843-850 / Harvested from Project Euclid
We show that one can smoothly renorm the Hilbert space $H$ such that the rate of convergence in the central limit theorem becomes very bad. More precisely, let us fix a sequence $\xi_n \rightarrow 0$ and $\varepsilon > 0$. We can then construct a norm $N(\cdot)$ on the Hilbert space, and a bounded random variable $X$ on $H$ with the following properties: (a) The norm $N(\cdot)$ is $(1 + \varepsilon)$ equivalent to the usual norm. It is infinitely many times differentiable, and each differential is bounded on the unit sphere. (b) If $(X_i)$ denotes independent copies of $X$, and if $\gamma$ is the Gaussian measure with the same covariance as $X$, then the inequality $\operatorname{Sup}_{t>0}|P\{N(n^{-1/2} \sum^n_{i=1} X_i) \leq t\} - \gamma\{x; N(x) \leq t\}| \geq \xi_n$ occurs for infinitely many $n$.
Publié le : 1984-08-14
Classification:  Central limit theorem,  rate of convergence,  renorming the Hilbert space,  60B12,  28C20,  46B20
@article{1176993232,
     author = {Rhee, WanSoo and Talagrand, Michel},
     title = {Bad Rates of Convergence for the Central Limit Theorem in Hilbert Space},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 843-850},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993232}
}
Rhee, WanSoo; Talagrand, Michel. Bad Rates of Convergence for the Central Limit Theorem in Hilbert Space. Ann. Probab., Tome 12 (1984) no. 4, pp.  843-850. http://gdmltest.u-ga.fr/item/1176993232/