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Teoriya Veroyatnostei i ee Primeneniya, 1965, Volume 10, Issue 3, Pages 519–526
(Mi tvp547)
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This article is cited in 34 scientific papers (total in 34 papers)
Short Communications
On the closeness of the distributions of the two sums of independent random variables
V. M. Zolotarev Moscow
Abstract:
Let $\{\xi_j\}$, $j=1,2,\dots,n$ (resp. $\{\eta_j\}$, $j=1,2,\dots,n$) be independent random variables with distribution functions $\{F_j\}$, $j=1,2,\dots,n$ (resp. $\{G_j\}$, $j=1,2,\dots,n$) and let $F$ (resp. $G$) be the distribution function of the sum $\xi=\xi_1+\dots+\xi_n$ (resp. $\eta=\eta_1+\dots+\eta_n$).
Let us denote
$$
\mu(k)=\sum_{j=1}^n\biggl|\int x^kd(F_j-G_j)\bigr|,\quad \nu(r)=\sum_{j=1}^n\int|x|^r|d(F_j-G_j)|.
$$
We suppose that $\mu(0)=\mu(1)=\dots=\mu(m)=0$ and $\nu(r)$ exist for some $r$, $m\le r\le m+1$. In this case
a) if the distribution of $\eta$ has a density bounded by a constant $q$, then
$$
|F(x)-G(x)|<C[\nu(r)q^r]^\frac1{1+r},\eqno{(\text*)}
$$
b) if $F$ and $G$ are lattice distributions with the same points of discontinuity and the same largest common factor of the length of the intervals between jumps $h$, then
$$
|F(x)-G(x)|<C_1[\nu(r)h^{-r}]\eqno{(\text{**})}
$$
where $C$ and $C_1$ are constants depending only on $m$ and $r$.
In the case a) an estimation of the type (**), which is better then one of the type (*) can be achieved only when some additional requirements on $\xi_j$ are satisfied. The estimations (*) and (**) make it possible to formulate some sufficient conditions for $F$ to converge to infinitely divisible distribution $G$ when the summands $\xi_j$ are not necessarily uniformly infinitesimal.
Received: 10.05.1965
Citation:
V. M. Zolotarev, “On the closeness of the distributions of the two sums of independent random variables”, Teor. Veroyatnost. i Primenen., 10:3 (1965), 519–526; Theory Probab. Appl., 10:3 (1965), 472–479
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