ON THE RATE OF CONVERGENCE IN THE MULTIVARIATE CLT

被引：153

作者：

GOTZE, F

机构：

来源：

ANNALS OF PROBABILITY | 1991年 / 19卷 / 02期

关键词：

CENTRAL LIMIT THEOREM; BERRY-ESSEN THEOREM; STEIN METHOD; MULTIVARIATE STATISTICS;

D O I：

10.1214/aop/1176990448

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Berry-Esseen theorems are proved in the multidimensional central limit theorem without using Fourier methods. An effective and simple estimate of the error in the CLT for sums and convex sets using Stein's method and induction is derived. Furthermore, the error in the CLT for multivariate functions of independent random elements is estimated extending results of van Zwet and Friedrich to the multivariate case.

引用

页码：724 / 739

页数：16

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