Bounds on the constant in the mean central limit theorem
Goldstein, Larry
Ann. Probab., Tome 38 (2010) no. 1, p. 1672-1689 / Harvested from Project Euclid
Let X1, …, Xn be independent with zero means, finite variances σ12, …, σn2 and finite absolute third moments. Let Fn be the distribution function of (X1 + ⋯ + Xn)/σ, where σ2 = ∑i=1nσi2, and Φ that of the standard normal. The L1-distance between Fn and Φ then satisfies $\Vert F_{n}-\Phi\Vert_{1}\le\frac{1}{\sigma^{3}}\sum_{i=1}^{n}E|X_{i}|^{3}.$ ¶ In particular, when X1, …, Xn are identically distributed with variance σ2, we have $\Vert F_{n}-\Phi\Vert_{1}\le\frac{E|X_{1}|^{3}}{\sigma^{3}\sqrt{n}}$   for all n ∈ ℕ, ¶ corresponding to an L1-Berry–Esseen constant of 1.
Publié le : 2010-07-15
Classification:  Stein’s method,  Berry–Esseen constant,  60F05,  60F25
@article{1278593964,
     author = {Goldstein, Larry},
     title = {Bounds on the constant in the mean central limit theorem},
     journal = {Ann. Probab.},
     volume = {38},
     number = {1},
     year = {2010},
     pages = { 1672-1689},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1278593964}
}
Goldstein, Larry. Bounds on the constant in the mean central limit theorem. Ann. Probab., Tome 38 (2010) no. 1, pp.  1672-1689. http://gdmltest.u-ga.fr/item/1278593964/