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Difference between revisions of "Berry-Esseen inequality"

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An inequality giving an estimate of the deviation of the distribution function of a sum of independent random variables from the normal distribution function. Let $X_1,\ldots,X_n$ be independent random variables with the same distribution such that
 
An inequality giving an estimate of the deviation of the distribution function of a sum of independent random variables from the normal distribution function. Let $X_1,\ldots,X_n$ be independent random variables with the same distribution such that
  
$$\mathbf{E}X_j=0$,\quad \mathbf{E}X_j^2=\sigma^2>0,\quad\mathbf{E}\lvert X_j\rvert^3<\infty.$$
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$$\mathbf{E}X_j=0,\quad \mathbf{E}X_j^2=\sigma^2>0,\quad\mathbf{E}\lvert X_j\rvert^3<\infty.$$
  
 
Let
 
Let
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$$\sup_x\left\lvert\mathbf{P}\left\{\frac{1}{\sigma\sqrt{n}}\sum_{j=1}^nX_j\leq x\right\}-\Phi(x)\right\rvert\leq A\frac{\rho}{\sqrt{n}},$$
 
$$\sup_x\left\lvert\mathbf{P}\left\{\frac{1}{\sigma\sqrt{n}}\sum_{j=1}^nX_j\leq x\right\}-\Phi(x)\right\rvert\leq A\frac{\rho}{\sqrt{n}},$$
  
where $A$ is an absolute positive constant. This result was obtained by A.C. Berry {{Cite|Be}} and, independently, by C.G. Esseen {{Cite|Es}}. The constant $A$ can be taken to be $33/4$ , see {{Cite|Fe|p. 515}}.
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where $A$ is an absolute positive constant. This result was obtained by A.C. Berry {{Cite|Be}} and, independently, by C.G. Esseen {{Cite|Es}}. Feller obtained an explicit value for the constant $A \le 33/4$ , see {{Cite|Fe|p. 515}}: it is now known that $A \le 0.7655$, see {{Cite|Fi|p. 264}}.
  
 
====References====
 
====References====
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|valign="top"|{{Ref|Es}}||valign="top"|  C.G. Esseen,  "On the Liapunoff limit of error in the theory of probability"  ''Ark. Mat. Astr. Fysik'' , '''28A''' :  2  (1942)  pp. 1–19
 
|valign="top"|{{Ref|Es}}||valign="top"|  C.G. Esseen,  "On the Liapunoff limit of error in the theory of probability"  ''Ark. Mat. Astr. Fysik'' , '''28A''' :  2  (1942)  pp. 1–19
 
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|valign="top"|{{Ref|Fe}}||valign="top"|  W. Feller,   "An introduction to probability theory and its applications" , '''2''' ,  Wiley  (1966)  pp. 210
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|valign="top"|{{Ref|Fe}}||valign="top"|  W. Feller, [[Feller, "An introduction to probability theory and its   applications"|"An introduction to probability theory and its  applications"]], '''2''' ,  Wiley  (1966)  pp. 210
 
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|valign="top"|{{Ref|Pe}}||valign="top"| V.V. Petrov,   "Sums of independent random variables" , Springer  (1975)  (Translated from Russian)
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|valign="top"|{{Ref|Fi}}||valign="top"| Steven R. Finch, "Mathematical Constants", Cambridge University Press (2003) ISBN 0-521-81805-2 Sect. 4.6
 
|-
 
|-
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|valign="top"|{{Ref|Pe}}||valign="top"| V.V. Petrov,  "Sums of independent random variables" , Springer  (1975)  (Translated from Russian) {{MR|0388499}} {{ZBL|0322.60043}} {{ZBL|0322.60042}}
 
|}
 
|}

Revision as of 20:49, 4 January 2015

2020 Mathematics Subject Classification: Primary: 60F05 [MSN][ZBL]

An inequality giving an estimate of the deviation of the distribution function of a sum of independent random variables from the normal distribution function. Let $X_1,\ldots,X_n$ be independent random variables with the same distribution such that

$$\mathbf{E}X_j=0,\quad \mathbf{E}X_j^2=\sigma^2>0,\quad\mathbf{E}\lvert X_j\rvert^3<\infty.$$

Let

$$\rho=\frac{\mathbf{E}\lvert X_j\rvert^3}{\sigma^3}$$

and

$$\Phi(x)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^x e^{-t^2/2}\,\mathrm{d}t;$$

then, for any $n$,

$$\sup_x\left\lvert\mathbf{P}\left\{\frac{1}{\sigma\sqrt{n}}\sum_{j=1}^nX_j\leq x\right\}-\Phi(x)\right\rvert\leq A\frac{\rho}{\sqrt{n}},$$

where $A$ is an absolute positive constant. This result was obtained by A.C. Berry [Be] and, independently, by C.G. Esseen [Es]. Feller obtained an explicit value for the constant $A \le 33/4$ , see [Fe, p. 515]: it is now known that $A \le 0.7655$, see [Fi, p. 264].

References

[Be] A.C. Berry, "The accuracy of the Gaussian approximation to the sum of independent variables" Trans. Amer. Math. Soc. , 49 (1941) pp. 122–136
[Es] C.G. Esseen, "On the Liapunoff limit of error in the theory of probability" Ark. Mat. Astr. Fysik , 28A : 2 (1942) pp. 1–19
[Fe] W. Feller, "An introduction to probability theory and its applications", 2 , Wiley (1966) pp. 210
[Fi] Steven R. Finch, "Mathematical Constants", Cambridge University Press (2003) ISBN 0-521-81805-2 Sect. 4.6
[Pe] V.V. Petrov, "Sums of independent random variables" , Springer (1975) (Translated from Russian) MR0388499 Zbl 0322.60043 Zbl 0322.60042
How to Cite This Entry:
Berry-Esseen inequality. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Berry-Esseen_inequality&oldid=25038
This article was adapted from an original article by V.V. Petrov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article