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2018 Convergence in distribution norms in the CLT for non identical distributed random variables
Vlad Bally, Lucia Caramellino, Guillaume Poly
Electron. J. Probab. 23(none): 1-51 (2018). DOI: 10.1214/18-EJP174

Abstract

We study the convergence in distribution norms in the Central Limit Theorem for non identical distributed random variables that is \[ \varepsilon _{n}(f):={\mathbb{E} }\Big (f\Big (\frac 1{\sqrt n}\sum _{i=1}^{n}Z_{i}\Big )\Big )-{\mathbb{E} }\big (f(G)\big )\rightarrow 0 \] where $Z_{i}$, $i\in \mathbb{N} $, are centred independent random variables and $G$ is a Gaussian random variable. We also consider local developments (Edgeworth expansion). This kind of results is well understood in the case of smooth test functions $f$. If one deals with measurable and bounded test functions (convergence in total variation distance), a well known theorem due to Prohorov shows that some regularity condition for the law of the random variables $Z_{i}$, $i\in{\mathbb {N}} $, on hand is needed. Essentially, one needs that the law of $Z_{i}$ is locally lower bounded by the Lebesgue measure (Doeblin’s condition). This topic is also widely discussed in the literature. Our main contribution is to discuss convergence in distribution norms, that is to replace the test function $f$ by some derivative $\partial _{\alpha }f$ and to obtain upper bounds for $\varepsilon _{n}(\partial _{\alpha }f)$ in terms of the infinite norm of $f$. Some applications are also discussed: an invariance principle for the occupation time for random walks, small balls estimates and expected value of the number of roots of trigonometric polynomials with random coefficients.

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Vlad Bally. Lucia Caramellino. Guillaume Poly. "Convergence in distribution norms in the CLT for non identical distributed random variables." Electron. J. Probab. 23 1 - 51, 2018. https://doi.org/10.1214/18-EJP174

Information

Received: 17 October 2017; Accepted: 28 April 2018; Published: 2018
First available in Project Euclid: 25 May 2018

zbMATH: 06924657
MathSciNet: MR3814239
Digital Object Identifier: 10.1214/18-EJP174

Subjects:
Primary: 60B10, 60F05, 60H07

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