On Convergence Rates in the Central Limit Theorem
Hertz, Ellen S.
Ann. Math. Statist., Tome 40 (1969) no. 6, p. 475-479 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$ be independent random variables with distribution functions $V_1, V_2, \cdots$, zero means and finite non-zero variances $\sigma_1^2,\sigma_2^2, \cdots$. Set $s_n^2 = \sum^n_1 \sigma_i^2$ and $\Phi(x) = (2\pi)^{-\frac{1}{2}} \int^x_{-\infty}e^{-t{}^2/2} \operatorname{dt}$. Define \begin{equation*}\tag{1.1}\psi_n(c) = \sum^n_1 \int_{|x| > c}x^2 dV _i(x).\end{equation*} According to the well-known Lindeberg-Feller Theorem [1] the condition $s_n^{-2}\psi_n(\xi s_n) \rightarrow 0 \text{as} n \rightarrow \infty\quad\text{for all} \xi > 0$ is both necessary and sufficient in order that $P\lbrack(X_1 + \cdots + X_n)s_n^{-1} \leqq x\rbrack \rightarrow \Phi(x)$ uniformly in $x$ as $n \rightarrow \infty$ and that $\max_{1 \leqq j \leqq n}\sigma_js_n^{-1} \rightarrow 0 \text{as} n \rightarrow \infty.$ Using the method of [3] and [4], it is shown that there exists an absolute constant $K$, independent of $n$ and of the particular sequence $V_1, V_2, \cdots$ such that \begin{equation*}\tag{1.2}\sup_{-\infty
Publié le : 1969-04-14
Classification: 
@article{1177697713,
     author = {Hertz, Ellen S.},
     title = {On Convergence Rates in the Central Limit Theorem},
     journal = {Ann. Math. Statist.},
     volume = {40},
     number = {6},
     year = {1969},
     pages = { 475-479},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697713}
}
Hertz, Ellen S. On Convergence Rates in the Central Limit Theorem. Ann. Math. Statist., Tome 40 (1969) no. 6, pp.  475-479. http://gdmltest.u-ga.fr/item/1177697713/