Berry–Esseen theorem
In probability theory, the central limit theorem states that, under certain circumstances, the probability distribution of the scaled mean of a random sample converges to a normal distribution as the sample size increases to infinity. Under stronger assumptions, the Berry–Esseen theorem, or Berry–Esseen inequality, gives a more quantitative result, because it also specifies the rate at which this convergence takes place by giving a bound on the maximal error of approximation between the normal distribution and the true distribution of the scaled sample mean. The approximation is measured by the Kolmogorov–Smirnov distance. In the case of independent samples, the convergence rate is, where is the sample size, and the constant is estimated in terms of the third absolute normalized moment. It is also possible to give non-uniform bounds which become more strict for more extreme events.
Statement of the theorem
Statements of the theorem vary, as it was independently discovered by two mathematicians, Andrew C. Berry and Carl-Gustav Esseen, who then, along with other authors, refined it repeatedly over subsequent decades.Identically distributed summands
One version, sacrificing generality somewhat for the sake of clarity, is the following:[Image:BerryEsseenTheoremCDFGraphExample.png|thumb|250px|Illustration of the difference in cumulative distribution functions alluded to in the theorem.]
That is: given a sequence of independent and [identically distributed random variables], each having mean zero and positive variance, if additionally the third absolute moment is finite, then the cumulative distribution functions of the standardized sample mean and the standard normal distribution differ by no more than the specified amount. Note that the approximation error for all n is bounded by the order of n−1/2.
Calculated upper bounds on the constant C have decreased markedly over the years, from the original value of 7.59 by Esseen in 1942. The estimate C < 0.4748 follows from the inequality
since σ3 ≤ ρ and 0.33554 · 1.415 < 0.4748. However, if ρ ≥ 1.286σ3, then the estimate
is even tighter.
proved that the constant also satisfies the lower bound
Non-identically distributed summands
It is easy to make sure that ψ0≤ψ1. Due to this circumstance inequality is conventionally called the Berry–Esseen inequality, and the quantity ψ0 is called the Lyapunov fraction of the third order. Moreover, in the case where the summands X1,..., Xn have identical distributionsand thus the bounds stated by inequalities, and coincide apart from the constant.
Regarding C0, obviously, the lower bound established by remains valid:
The lower bound is exactly reached only for certain Bernoulli distributions.
The upper bounds for C0 were subsequently lowered from Esseen's original estimate 7.59 to 0.5600.
Sum of a random number of random variables
Berry–Esseen theorems exist for the sum of a random number of random variables. The following is Theorem 1 from Korolev, substituting in the constants from Remark 3. It is only a portion of the results that they established:Multidimensional version
As with the multidimensional central limit theorem, there is a multidimensional version of the Berry–Esseen theorem.The dependency on is conjectured to be optimal, but might not be.
Non-uniform bounds
The bounds given above consider the maximal difference between the cdf's. They are 'uniform' in that they do not depend on and quantify the uniform convergence. However, because goes to zero for large by general properties of cdf's, these uniform bounds will be overestimating the difference for such arguments. This is despite the uniform bounds being sharp in general. It is therefore desirable to obtain upper bounds which depend on and in this way become smaller for large.One such result going back to that was since improved multiple times is the following.
The constant may be taken as 114.667. Moreover, if the are identically distributed, it can be taken as, where is the constant from the first theorem above, and hence 30.2211 works.