English

Central Limit Theorem for R\'enyi Divergence of Infinite Order

Probability 2024-06-21 v2

Abstract

For normalized sums ZnZ_n of i.i.d. random variables, we explore necessary and sufficient conditions which guarantee the normal approximation with respect to the R\'enyi divergence of infinite order. In terms of densities pnp_n of ZnZ_n, this is a strengthened variant of the local limit theorem taking the form supx(pn(x)φ(x))/φ(x)0\sup_x (p_n(x) - \varphi(x))/\varphi(x) \rightarrow 0 as nn \rightarrow \infty.

Keywords

Cite

@article{arxiv.2402.02259,
  title  = {Central Limit Theorem for R\'enyi Divergence of Infinite Order},
  author = {Sergey G. Bobkov and Friedrich Götze},
  journal= {arXiv preprint arXiv:2402.02259},
  year   = {2024}
}

Comments

Corrected typos and updated section 11