On the Rate of Convergence in the Central Limit Theorem in Two Dimensions and its Application
Afghahi, M. H.
Ann. Probab., Tome 3 (1975) no. 6, p. 802-814 / Harvested from Project Euclid
This paper provides a generalization of the classical Berry-Esseen theorem in two dimensions. For i.i.d. random variables $\eta_1, \eta_2, \cdots, \eta_r, \cdots$ and real numbers $a_1, a_2, \cdots, a_r, \cdots$ and $b_1, b_2, \cdots, b_r, \cdots$ with $E(\eta_r) = 0, E(\eta_r^2) = 1, |a_r| \leqq 1$ and $|b_r| \leqq 1$, let $A_n^2 = \sum^n_{r=1} a_r^2, B_n^2 = \sum^n_{r=1} b_r^2$ and $S_n = (\sum^n_{r=1} a_r \eta_r/A_n, \sum^n_{r=1} b_r \eta_r/B_n)$. The main result concerns the rate of convergence of the distribution function of $S_n$ to the corresponding normal distribution function without assuming the existence of third moments. As an application of this result a theorem of P. Erdos and A. C. Offord is generalized.
Publié le : 1975-10-14
Classification:  Central limit theorem,  rate of convergence,  Berry-Esseen theorem,  two dimensions,  probabilistic number theory,  60F05,  10K99
@article{1176996267,
     author = {Afghahi, M. H.},
     title = {On the Rate of Convergence in the Central Limit Theorem in Two Dimensions and its Application},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 802-814},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996267}
}
Afghahi, M. H. On the Rate of Convergence in the Central Limit Theorem in Two Dimensions and its Application. Ann. Probab., Tome 3 (1975) no. 6, pp.  802-814. http://gdmltest.u-ga.fr/item/1176996267/