Open Access
April, 1991 On the Rate of Convergence in the Multivariate CLT
F. Gotze
Ann. Probab. 19(2): 724-739 (April, 1991). DOI: 10.1214/aop/1176990448

Abstract

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.

Citation

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F. Gotze. "On the Rate of Convergence in the Multivariate CLT." Ann. Probab. 19 (2) 724 - 739, April, 1991. https://doi.org/10.1214/aop/1176990448

Information

Published: April, 1991
First available in Project Euclid: 19 April 2007

zbMATH: 0729.62051
MathSciNet: MR1106283
Digital Object Identifier: 10.1214/aop/1176990448

Subjects:
Primary: 60F05
Secondary: 62H10

Keywords: Berry-Esseen theorem , central limit theorem , multivariate statistics , Stein's method

Rights: Copyright © 1991 Institute of Mathematical Statistics

Vol.19 • No. 2 • April, 1991
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