A weak Cramér condition and application to Edgeworth expansions

Abstract

We introduce a new, weak Cramér condition on the characteristic function of a random vector which does not only hold for all continuous distributions but also for discrete (non-lattice) ones in a generic sense. We then prove that the normalized sum of independent random vectors satisfying this new condition automatically verifies some small ball estimates and admits a valid Edgeworth expansion for the Kolmogorov metric. The latter results therefore extend the well known theory of Edgeworth expansion under the standard Cramér condition, to distributions that are purely discrete.