On the normal approximation of a sum of a random number of independent random variables |
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Authors: | Jonas Kazys Sunklodas |
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Affiliation: | 1. Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, LT-08663, Vilnius, Lithuania 2. Vilnius Gediminas Technical University, Saul?tekio 11, LT-10223, Vilnius, Lithuania
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Abstract: | In this paper, we extend the results obtained in [J. Sunklodas, Some estimates of normal approximation for the distribution of a sum of a random number of independent random variables, Lith. Math. J., 52(3):326?C333, 2012] for a thrice-differentiable function h : ? ?? ? to the case of h ?? BL(?); namely, we estimate the quantity | E h(Z N )? E h(Y)| where h is a real bounded Lipschitz function, $ {Z_N}={{{left( {{S_N}-mathrm{E}{S_N}} right)}} left/ {{sqrt{{mathrm{D}{S_N}}}}} right.} $ , S N = X 1 + · · · + X N , X 1 , X 2 , . . . are independent, not necessarily identically distributed, real random variables, N is a positive integer-valued r.v. independent of X 1 , X 2 , . . . , and Y is a standard normal random variable. |
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