Normal Approximation for Weighted Sums under a Second Order Correlation Condition

2019 
Under correlation-type conditions, we derive an upper bound of order $(\log n)/n$ for the average Kolmogorov distance between the distributions of weighted sums of dependent summands and the normal law. The result is based on improved concentration inequalities on high-dimensional Euclidean spheres. Applications are illustrated on the example of log-concave probability measures.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    32
    References
    0
    Citations
    NaN
    KQI
    []