On asymptotic behaviour of the remainder term in the central limit theorem
Abstract
Let $X_1,X_2,\dots$ be a sequence of independent identically distributed random variables with zero means and unit variances. Let $k_n$ be a sequence of natural numbers, $k_n\to\infty$ , $k_{n+1}/k_n\to 1$ ( $n\to\infty$ ), $$ F_n(x)=\mathbf P\biggl\{\frac{1}{\sqrt{k_n}}\sum_{k=1}^{k_n}X_k<x\biggr\},\qquad \Phi(x)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^x e^{-t^2/2}\,dt. $$We study conditions under which$$ F_n(x)=\Phi(x)+\frac{\Psi(x)+o(1)}{\mu_n}\qquad (n\to\infty) $$uniformly in$x$,$-\infty<x<\infty$, where$\mu_n$is a positive sequence such that$\mu_n\to\infty$,$\mu_n=o(k_n)$($n\to\infty$).
Submission history
[v1] 1978