English

Quantitative bounds in the central limit theorem for $m$-dependent random variables

Probability 2022-08-15 v1

Abstract

For each n1n\ge 1, let Xn,1,,Xn,NnX_{n,1},\ldots,X_{n,N_n} be real random variables and Sn=i=1NnXn,iS_n=\sum_{i=1}^{N_n}X_{n,i}. Let mn1m_n\ge 1 be an integer. Suppose (Xn,1,,Xn,Nn)(X_{n,1},\ldots,X_{n,N_n}) is mnm_n-dependent, E(Xni)=0E(X_{ni})=0, E(Xni2)<E(X_{ni}^2)<\infty and σn2:=E(Sn2)>0\sigma_n^2:=E(S_n^2)>0 for all nn and ii. Then, \begin{gather*} d_W\Bigl(\frac{S_n}{\sigma_n},\,Z\Bigr)\le 30\,\bigl\{c^{1/3}+12\,U_n(c/2)^{1/2}\bigr\}\quad\quad\text{for all }n\ge 1\text{ and }c>0, \end{gather*} where dWd_W is Wasserstein distance, ZZ a standard normal random variable and Un(c)=mnσn2i=1NnE[Xn,i21{\absXn,i>cσn/mn}].U_n(c)=\frac{m_n}{\sigma_n^2}\,\sum_{i=1}^{N_n}E\Bigl[X_{n,i}^2\,1\bigl\{\abs{X_{n,i}}>c\,\sigma_n/m_n\bigr\}\Bigr]. Among other things, this estimate of dW(Sn/σn,Z)d_W\bigl(S_n/\sigma_n,\,Z\bigr) yields a similar estimate of dTV(Sn/σn,Z)d_{TV}\bigl(S_n/\sigma_n,\,Z\bigr) where dTVd_{TV} is total variation distance.

Keywords

Cite

@article{arxiv.2208.06351,
  title  = {Quantitative bounds in the central limit theorem for $m$-dependent random variables},
  author = {Svante Janson and Luca Pratelli and Pietro Rigo},
  journal= {arXiv preprint arXiv:2208.06351},
  year   = {2022}
}

Comments

17 pages

R2 v1 2026-06-25T01:40:12.879Z