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Characterizing the rate of convergence in the central limit theorem. II

  • Peter Hall (a1)
Abstract

We obtain upper and lower bounds of the same order of magnitude for the error between the distribution of a sum of independent and identically distributed random variables, and a normal approximation by a portion of a Chebychev-Cramér series. Our results are sufficiently general to contain the familiar characterizations by Ibragimov(4), Heyde and Leslie (3) and Lifshits(5), and complement some of those obtained earlier by the author (2).

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(1)Cramér, H.On the composition of elementary errors. Skand. Aktuarietidskrift 11 (1928), 1374.
(2)Hall, P.Characterizing the rate of convergence in the central limit theorem. To appear in Ann. Probability.
(3)Heyde, C. C. and Leslie, J. R.On the influence of moments on approximations by portion of a Chebychev series in central limit convergence. Z. Wahrscheinlichkeitstheorie verw. Geb. 31 (1972), 255268.
(4)Ibragimov, I. A.On the Chebychev-Cramér asymptotic expansion. Theor. Probability Appl. 12 (1967), 455469.
(5)Lifshits, B. A.On the accuracy of approximation in the central limit theorem. Theor. Probability Appl. 21 (1976), 108124.
(6)Osipov, L. V.Accuracy of the approximation of the distribution of a sum of independent random variables to the normal distribution. Soviet Math. Dokl. 9 (1968), 233236.
(7)Petrov, V. V.Sums of Independent Random Variables. (Springer, Berlin, 1978).
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Mathematical Proceedings of the Cambridge Philosophical Society
  • ISSN: 0305-0041
  • EISSN: 1469-8064
  • URL: /core/journals/mathematical-proceedings-of-the-cambridge-philosophical-society
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