English

$L^1$ bounds in normal approximation

Probability 2011-11-10 v1

Abstract

The zero bias distribution WW^* of WW, defined though the characterizing equation EWf(W)=σ2Ef(W)\mathit{EW}f(W)=\sigma^2Ef'(W^*) for all smooth functions ff, exists for all WW with mean zero and finite variance σ2\sigma^2. For WW and WW^* defined on the same probability space, the L1L^1 distance between FF, the distribution function of WW with EW=0\mathit{EW}=0 and Var(W)=1Var(W)=1, and the cumulative standard normal Φ\Phi has the simple upper bound FΦ12EWW.\Vert F-\Phi\Vert_1\le2E|W^*-W|. This inequality is used to provide explicit L1L^1 bounds with moderate-sized constants for independent sums, projections of cone measure on the sphere S(np)S(\ell_n^p), simple random sampling and combinatorial central limit theorems.

Keywords

Cite

@article{arxiv.0710.3262,
  title  = {$L^1$ bounds in normal approximation},
  author = {Larry Goldstein},
  journal= {arXiv preprint arXiv:0710.3262},
  year   = {2011}
}

Comments

Published in at http://dx.doi.org/10.1214/009117906000001123 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T09:33:01.183Z