Lecture Notes in

Mathematics
Edited by A. Dold and B. Eckmann

879
IIIIIII IIIIIIII I IIIIII ill

Vja(~eslav V. Sazonov

Normal Approximation -
Some Recent Advances
I I I IIIIII I

Springer-Verlag
Berlin Heidelberg New York 1981
Author

VjaEeslav V. Sazonov
Steklov Institute of Mathematics
42 Vavilov Street, 117966 Moscow, USSR

AMS Subject Classifications (1980): 60B12, 60E10, 60E99, 60F05

ISBN 3-540-10863-7 Springer-Verlag Berlin Heidelberg NewYork

ISBN 0-38?-10863-? Springer-Verlag NewYork Heidelberg Berlin

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 Preface

This course is devoted to the problem of estimation of the

speed of convergence in the central limit theorem in ~ and in

Hilbert space ~ . If ~, ~ ~X are independent identically

distributed random variables with values in ~ or /~ and with

is the distribution of ~ - ' ~ ( ~ - C ~ ) a n d $ is

the normal probability measure with the same first and second mo-

ments as X~ then the central limit theorem states that for a

large class of functions

(*)

tends to zero as ~ ; the problem is to construct upper bounds

for the absolute value of (~). This topic in the finite dimensional

case was also covered in the recent monograph L8] . The difference

between our approach and that of [8~ is that we use mainly a method

depending directly on convolutions rather then the method of cha-

racteristic functions. For the first time the method of convoluti-

ons in its explicit form was used by H.BergstrSm in 1944. In a

number of respects it is simplier then the method of characteristic

functions and leads to the goal more directly. We illustrate the

method of convolutions in a s~aple example in ~l of Chapter I. In

deriving the integral type estimates however we also apply the

method of characteristic functions since we do not have proofs based

on the method of convolutions only. Most of our estimates are ex-

pressed not in terms of absolute moments as in [8~ but in terms of

pseudomoments (for definitions see ~1,2 of Chapter I). This makes

the estimates sharper, the pseudomoments being distances from the

distribution of s~mmands to the corresponding normal measure. When

 fv

the pseudomoments are small enough - less then some absolute con-

stant - estimates for the variation distance are obtained which

have the usual order ~-'~. Special attention is paid to the con-

stants involved in the estimates: in the k -dimensional case upper

bounds of the form c~ ~ are obtained, where c is an absolute

constant and ~. is a constant corresponding to the type of the

estimate.

We do not try to prove results in full generality or to cover

all the known achievements in the area. Our main aim ~s to present

the main directions and methods (with the emphasis on the method of

convolutions).

The Notes were written at the time the author was lecturing

at UCLA in the spring of 1979 and at Moscow State University in

1979-1980. In the lectures Chapter I and ~l of Chapter K were cove-

red (at UCLA Chapter I only). The content of Chapter II, ~ 2 was also

planned but was not delivered owing to lack of time.

I am greatly indebted to Professor Yu.V,Prohorov for his

valuable advice and criticism during my work in this field. I am

also grateful to Professor A.V.Balakrishnan for inviting me to UCLA

and for his suggestion to write these Notes. While I was at UCLA

we had many inspiring conversations about the theory of probability.

My special thanks go to Miss Stella Lozano of UCLA for typing

a part of the first draft and to ~r. V.P.Sharma of ISI, Delhi and

to Wendy Coutts of UBC, Vancouver for typing the final version of

the manuscript.

V.V.Sazonov
 Table of Contents

THE MAIN NOTATIONS

CHAPTER I : THE F I N I T E DIMENSIONAL CASE . . . . . . . . . . . . . 1

§I. The two main methods and the main directions of

extensions and improvements of classical results . . I

§ 2. The method of compositions. Estimates for convex

and arbitrary Borel sets . . . . . . . . . . . . . . . 11

3. The method of c h a r a c t e r i s t i c functions. Integral

type estimates . . . . . . . . . . . . . . . . . . . . 40

Comments on Chapter I . . . . . . . . . . . . . . . . . 67

CHAPTER I I : THE INFINITE D I M E N S I O N A L CASE . . . . . . . . . . . 69

51. An e s t i m a t e for balls with a fixed centre . . . . . . . 7o

§2. A better speed e s t i m a t e for balls with a fixed

centre . . . . . . . . . . . . . . . . . . . . . . . . 82

Comments on Chapter II . . . . . . . . . . . . . . . . 100

REFERENCES . . . . . . . . . . . . . . . . . . . . . . . . .102. . .

INDEX . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
 The Main Notations

Rk standard k-dimensional Euclidean space

H a real separable Hilbert space

(x,y) for x,y~ R k or H is the inner product of x and y

k
((x,y) = ~ xjyj, for x = (x I ..... Xk)' Y : (Yl ..... Yk ) ~ Rk)
I
Ixl = (x,x) ~
k
IIa[l : ~ a for a nonnegative integral vector a = (a I , . . . ,a k) c Rk (i.e. with
i ]
nonnegative integer components a j)

a! for a nonnegative integral vector aE R k is al!a2! ... ak!

D for a nonnegative integral vector a ~ Rk is the differential operator

a

~Elall/~xal ak
1 "'" ~Xk

xa for x ~ Rk and a nonnegative integral vector a ~ Rk is x al

I ...x ak
k

x-<t for x = (x i•...,x k) Y = (Yl'''''Yk) ~ Rk means x. -<yj j = I,~

x<y for x,y~ R k means x<y, x~y

IV I for a kx k matrix V is its determinant

EIvII for a kxk matrix is its norm, i.e, IIV[I= s u p Ivxl

]xI<-1
I identity kx k matrix

S (x) open ball of radius r with centre at x

r
Sr,~(x) = Sr+e (x) \Sr (x)

XE indicator function of a set E, i.e. ×E(X) = I or 0 according to

xcE or x#gE

Ec complement of a set E

closure of a set E

~E boundary of a set E

E~ = U{S (x):x~ E}
c
E- ~ = U{x: S (x)cE}
c

C class of all convex Borel subsets of Rk

PX probability measure corresponding to a random variable X

for a probability measure or a distribution function K is its

characteristic function, K(x) = fexp{i(x,y)}K(dy)

 VII

IMI for a signed measure M denotes its variation, i.e. IMI = M + + M - ,

where M +, M" are the components of Jordan-Hahn decomposition of M

Kn where K is a distribution functien or a probability measure is the

n-fold convolution of K with itself

N V normal distribution in Rk with mean ~ and covariance matrix V

NT,T> 0 is N0,T-2 I

N = N1

is normal (0,1) distribution function

~v(resp.~T,~) density function corresponding to N ,V (resp. NT,N)

c (resp. c(.)) with or without indices denote positive constants (resp. positive

constants depending only on quantities in parentheses); the same

symbol may stand for different constants.

If the area of an integration or the set over Which max, inf, etc. is taken is
x x
not indicated it is understood that the integration is over the whole space and

max, inf, etc. is with respect to the all possible values of x.

x x
 CHAPTER I

THE FINITE DIMENSIONAL CASE

Let XI,X2, ... be i.i.d, random variables with values in R k such that EIX112 < co

and suppose that the covarianee matrix V of X is nondegenerate. Then by the central

limit theorem the distributions Pn of the normalized sums n -½ V 2(Xi-u) , where

i Rk
p = EXI, converge weakly to the standard normal distribution N on , i.e.

Sf(x)Pn(dX) + S f(x)N(dx) as n ÷ co

for any bounded Borel measurable function f on R k such that the set of points of its

discontinuity has N-measure zero. We are interested in the estimation of the speed of

this convergence. In this Chapter we shall construct bounds for Sf(x)(Pn-N)(dx) for

any bounded Borel measurable function on R k, which depend in general on n, the function

f and on moments or pseudomoments of X 1 up to some order. Of special interest is the

particular case when f is the indicator of a set E, i.e. f(x) = XE(X). The weak

convergence Pn => N itself imply the uniformity of the convergence (Pn-N)(E) ÷ 0 over

large classes E of sets E, e.g. over the class C of all convex Borel sets~ and some

of our bounds for I(Pn-N)(E)I for convex sets will be independent of particular sets.

The two main methods and the main directions of extensions and improvements of
classical results.

We start with an illustration of the two main methods employed in the estimation

of the speed of convergence in the central limit theorem in R k, i.e. the method of

compositions and the method of characteristic functions. To this aim we shall give

two different proofs of the classical Berry-Esseen theorem (one dimensional case) using

these two different methods.

The B#rry-Esseen theorem Let X1,X2, ... be independent identically distributed

(i.i.d.) real random variables with EX 1 = ~,E(XI-p)2 = o2 < ~. Denote

n
Fn(X) = P(c -1 n -½ ~ ( X r - p) < x )
1
and l e t ¢ be t h e s t a n d a r d normal d i s t r i b u t i o n function on R. Then for all n = 1,2,...
 suplFn(X) - ~(x)l I ~ B3 °-3 n-½ (i)
X

where 83 = ElXl-~i 3 and ~ is an absolute constant.

Both p r o o f s we a r e g o i n g t o g i v e f o r t h i s theorem use the following smoothness

lemma.

Lemma I. Let F,G,H be three distribution functions. Assume that

H(v) - H ( - v + O ) ~ u for some v > O, 2 -l < u < |, (2)

I G ( x | ) - G ( x 2 ) ] ~MIx ] -x21 f o r some M> 0 and a|] x l , x 2 c R,

and denote
D(x) = F(x) - G(x), HT(X) = H(Tx), T > 0

6 = sup ID(x) 1 , ~T = sup I D * H T ( X ) I .

X X

Then f o r any T > 0

I (2u-i)-1 [~T + 2uv MT- I ] (3)

Preof. Take a T > 0 and put t = vT -I. Clearly either ~ : - inf D(x) or ~ = sup D(x).
X
We assume the former case. The latter case is treated similarly. For any e > 0

there exist x such that D(x ) < - 6 + ¢ . Note that if IYl < t, then
C

D(x - t - y ) < (F(x) - G(x )) - (G(x - t - y ) - G(x ))

6 -- ~ £ C C

<-6 + e + 2Mt .

Therefore

-6 T < D*HT(Xe-t) = ( S + S )D(xe-t-y)dHT(Y)

-- lyi< t ly|~t

< (-~+e+ZMt)X + 6 ( i - ~ ) ,

where X = H T ( t ) - H T ( - t + O ) = H(v) - H(-v+O). Sinee c may be taken a r b i t r a r y s m a l l and

X ~ u (see ( 2 ) ) , we have

6 ~ (2X-I)-I(6T+2tMX) 2 (2u-l)-l(~T +2uvMT-1)" 0

Corollary i. Let in lemma 1 G = H = ~, where ~ is the standard normal distribution.

In this case M = (2~) 2 and we may take e.g. u = 3/4. Then v = 1.16 and we have for
these G and H

6 <_ 26 T + (7/2F'2~) T-1 • (4)

Coro!!ary 2. Let F,G be distribution functions. Suppose G satisfies (2) for some

M > O. Then for any u:2 -I < u < 1 there exist a positive number v(u) such that for

all T > 0
T
Sup[F(x)-G(x)l ~ ( 2 u - l ) - l [ (2~)-1 5 I ( ~ ( t ) - G ( t ) ) / t [ dt+2uv(u)NT-z] (5)
x -T

Proof. Let H(x) be the d i s t r i b u t i o n f u n c t i o n w i t h density p(x) = (1-cos x ) / ~ x 2 ; the

corresponding characteristic function is

~(t) = {l-ltl,itl~i
0 , Ltl> i

The c h a r a c t e r i s t i c f u n c t i o n corresponding to NT(X) i s H(tT-1); i t vanishes outside the

interval [-T,T].

By the i n v e r s i o n formula we have for any d i s t r i b u t i o n function S

S.HT(X)-S.HT(Y) = (2~) - I T (e_ity- e_itx) ( i t ) - i s ( t ) H T ( t ) d t . (6)

-T
Suppose t h a t
T ^ ^
l(F(t)-G(t~/t]dt < ~ (7)
-T
Then by the Riemann-Lebesgue theoremj
T
(F(t)-G(t))t-lHT(t)e-itYdt--- ÷ 0 as y ....
-T
Putting in (6) at first S=F and then S=G, substracting the obtained inequalities and

letting y + ~ we thus have

F.HT(X)-G.HT(X ) = (2~) - I i T e - i t x ( G ( t ) - F ( t ) ) ( i t ) - i H T ( t ) d t . (8)

-T
From (8) i t f o l l o w s immediately t h a t

I(F-G)*HT(X)i 2 ( 2 ~ ) - l ~ ( F ( t ) - G ( t ) ) / t l dt " (9)

-T
Obviously (9) i s t r u e even i f i n e q u a l i t y (7) f a i l s . Define now v ( u ) , 2-1 < u < i ,

by the equation 2H(-v(u)) = u. The i n e q u a l i t y (5) i s now an immediate c o r o l l a r y of

1emma 1 and (9). O

Proof i of the 8erry-Esseen theorem (The method of compositions): It is enough

to deal with the case p = 0,o = i) (To reduce the general case to this one it is enough

to consider Yj = (Xj-p)/o).
~,,2~3/2
Noting t h a t ~3 ~ (LAI) = i , we have
 IFl(X)-{(x)[ 2 6} ,

thus (1) is true for n : i. We shall show that if (1) is true for all values of n

less then some fixed value, then it is also true for this fixed value of n with the

same constant c if c is large enough. In what follows we shall assume m > 2.

Denote by F(n ) the d i s t r i b u t i o n function of Xln 2 and l e t }T(x) = ~(Tx),'I~,O.

n n
Then Fn : F(n ) and ~ = ~i: ~ ½. The following equation is the very essential point
n
of the method of compositions

(Fn-~)*~T = (F~n) - ~½)*~T

n-1
= i:O~ (Fin)( * {~½i 1).{T.(F(n)_{n½ )

n-1~i .i ~ .n-i-i . .n-I

:[ i:l~ ~r(n)-~n½1*~n½ *~T+n~ ½n *~T]*(F(n)-~n ½)

n-1
(i0)
= (i:1~ Ui + n {To)*H1
where
U.=H.*{ , H. = r i - {~½ ' %i = ((n-i-1)/n+T-2)-½
i i ~i i (n)

Representing Ui(x-y) in the form

Ui(x-y) = ~ Hi(x-y-u){Ti(u)du

= S Hi(x-z){Ti(Y-z)dz

where {T is the density function of {T' we see that i t is a smooth function of y and
we can write
2
Ui(x-y) = ~ (-1)J(jz)-lu~J)(x)yJ-6-1ul',(x+ey)y 3, (ll)
j=O i

where [81 ~ 1. Note that

yJ dHl(Y) = O, j = 0,1,2,

since F(n ) and ~n ½ both have mean value 0 and variance l/n. Therefore

IUi*Hl(X)l = I S Ui(x-y)dHl(Y)l
= 6 -I ~U"'
- i (x+ey)y3dH1 (y) I
2 6 -1 sup [U~'(x)lSlyl3(dF(n)(y) + d{ ½(y))
X n
The definitions of F(n ) and ~T imply that

flyl3eF(n)(y) = 63 n-3/2, #tyl3d{n½(Y) = (412~)n -3/2 ,

hence
~lYl3(dF(n)(Y)+d{n½(Y)) 2 cB3n-3/2

(recall that B3 ~ 1), Qn the other hand

suplU':'(x)
I ~ = sup I[Hi(-z),~'~(x+z)dz I
X X

supIHi(z) l ; l ~ (z) ldz-

Z

A simple calculation shows that

I I*"' (~) Idz < o~

and by the inductive hypothesis we have, since ~ ½ is normal (O,i/n),
H

IHi (z) l = ip(n_½ ~i Xj < z) - ~i½(z) l

n

= IFi((n/i)½z) - ~((n/i)½z)l
I cB3 i ~ (12)
Using the above inequalities and noting that
n-2 3 i-½ n-1 dx
i=l (x_l)~((n_x_l)/n+T-2) 3/2

: 2n½T ((n-2)/n) ½
((n-2)/n) + T-2
< 2v~'n ½ T, (13)
we obtain
n-2
tUi*Hl(X)l ~ c oB~ Tn-1 (14)
i=1
For i = n-1 by the same argument but using representation

Un_l(x-y) = Un_l(X) - U~_l(x+Sy)y

instead of (11) we deduce

tUn_l * Hl(X) i ~ c cB~BTn -1 (1~)

For the term l~To Hl(X)I we have (using again the above arguments)
 * Hl(X)l = I ~{~ (x-y)dHI(Y)I
0 e

1
=~ I~' (x+Oy)Y 3 dHI(Y) J
O

± g1 sup I{"' (y) lIlyl 3 d(F(n)(y)+{n½(Y))

y To
-3/2
c83 n (16)
since

3 supj{, ,
sup
y
I~"'To (Y) I = %
y
'(~oY) l
and

To = ( ( n - 1 ) n -1 + T-2) -½ <_ v~

when n > 2. Hence we have, combining ( i 0 ) , (14) - (16),

I(Fn-{)*{T(×)i ± c(~B~ Tn -1 + 8 3 n -½) ,

which i m p l i e s , by C o r o l l a r y 1, for any T > 0

_i
JFn(X)-~(x) I ~ c(~8~ Tn- I + 83 n ~ + T - l ) . (17)

The r i g h t side of (17) a t t a i n s i t s minimum when T = 831(n/c) ½ and w i t h t h i s value of

T (17) takes the form

I F n ( X ) - ¢ ( x ) l ~ c~3 n-½ c ( ~ - I + 2~-½) "

Assuming now t h a t c i s chosen large enough to s a t i s f y c(c -1 + 2c -½) < 1 we obtain (1).D

For the second proof of the Berry-Esseen theorem we will also need the following

lemma.

Lemma 2. Let X be a random variable with distribution function F and suppose that

EX = O, EX 2 = 1,63 = ElXi3 < ~. If

jtj < nZ/SB3 (18)

then
^ e-t2/21 -~ -t2/4
I rn(tn-½) - 2 (7/6) I i t i 3n z 83 e

Proof. Since 83 < ~, F i s three times c o n t i n u o u s l y d i f f e r e n t i a b l e and F(J)(u) =

Se iux x j dF(x),j = 1,3. Moreover we can write

2 uj 3
~(u) =j~o: ~ ~(J)(o) +~-u ell(i-v)2 ~"'(vu)dv (i9)
which i m p l i e s
 ~(tn-½) = 1-t2/(2n) + 06-1t383 n-3/2

where 181 ! i. If t satisfies (17) then

t2/(2n) + 6-11t1383n -3/2 ~ 25-1(since B3 ~ o 3 = i),

and, consequently, If(tn-½) l ~ 24/25 > O. For such t we can thus write
Fn(tn -½) = exp(n log F(tn-2)}.

Furthermore, expanding log F in the same way as ~ in (19) we have

^
log F(tn -=) = - t2/(2n) +e6-1t3n-3/2(log ~)" (0Itn -½)

where ^ ^ ^ ^ ^ ^

l(l°g F)"'I = I(F"' F2-3F" F' F + 2(F')3)F -3

(B3 + 3B2B 1 + 2B~)(24/25) "3

6B3(25/24) 3

7B 3

(here Bk = EIXI k, k = O,1,...).

Using now the inequality lea -i I ~ l~le i~l we obtain

l~n(tn-½)-e-t2/21 = lexp n log ~(tn-½)-e-t2/21

(7/6) It13B3n-½ exp{ -t2/2 + (7/6)~t13B3 n 2}.

It remains only to notice that when t satisfies (18)

t2/2 _ (7/6) Itj3B3 n-½ > t2/4 . []

Proof 2 of the Berry-Esseen theorem (the method of characteristic functions).
As in the first proof it is enough to consider the case p = 0,o = 1. By Corollary 2

we have for any T > 0

sup IFn(X)-~(x) I ~ e[ sTl(~n(tn-½)-e-t2/2)t-lldt + T -1]
x -T
Take T = n2/(563). Then by Lemma 2
Tn
I l(~n(tn-½)-e-t2/2)t-lldt 2 (7/S)B3 n-½ I~ t2e-t2/4 dt = cB3 n-½ ,
-T -~
n
Which finishes the proof. D

Remark 1. The speed n -½ is "the true" speed of convergence in the central limit

theorem . Indeed let {Yj} be a sequence of i.i.d, real random variables with P(YI=O)=
n

P(Y1 = l) = 1/2. I f Pn(m) = P( ~ Yi = m), then by the l o c a l Det~ivre-kaplaee theorem

denoting m = [n/2] ( t h e integral part), we have
n

P n ( m n ) ~ 7 2 n ½ -*i as n ÷ oo (20)

1 = 2 1
On t h e o t h e r hand, d e n o t i n g Xi = Yi - 2 ' we have EXi = O,o 2 EX_ =

P (m) = P(#: = 2(m-n/2)n 2) (21)

n n
-I -½ n
where Xn = d n ~ Xi. From (20), (21) it follows that for this sequence {Xi}

supIFn(X)-~(x) I > (1/2) sup P(Xn = x)

X X

> (1/4)(2/~) ½ n -½

for all large enough n, which proves our assertion.

The classical results of Berry-Esseen type were extended and improved in several

directions. Here are the main improvements:

1. One can construct esLimates with less restrictions on the existence of moments.

Let X. be a sequence of i.i.d, real random variables with EX i = p,E(Xi-p)2 = o z < ~ .

1

Denote

-
P3n = o -3 b o-211x-P~2dF(x )
Ilx-pl~dF(x)+n2
{x-p~<_dn ½ ix-pl>on 2

=o -3 I Ixi~dr'(×) +n ½o -2 ; Ix12dr'(×)
l×]~on~ Ixl>an 2

(F being the distribution function of X 1 and F' that of Xl-P),

Then one can show that (in our usual notations)

sup t F n ( X ) - { ( x ) j £ c~3 n n
X

Note that if 0 < 6 ~ l, then since Ixi 3 % Ixl 2+6 01-6 n(1-6)/2 when Ixl%an½ and

i X l 2 ~ Ixj 2+6 0 .6 n-6/2 when ixl > an 2, we have

-P3n £ n ( 1 - 6 ) / 2 0-2-6 [ jxl2+6dx ,

i.e. -P3n n-½ ~ 62+6 n - 6 / 2 where 62+6 = ElXl-ml 2+6 . Thus ifi EIX112+6 < ~ , we obtain

an estimate with the speed n -6/2. One can show that in general the speed can not be

better than n- d 2 if we suppose only that EiX1 !2+6 <

2. Under the same assumptions as in the Berry-Esseen theorem for any x ~ R

~)-1
IFn(X) - ¢ ( x ) i ~ c(83/a3)n-~(1+ ixl (22)

This e s t i m a t e i s c a l l e d a non-uniform estimate ( t h e name r e f l e c t s the fact that both

sides o f i n e q u a l i t y (22) depend on x) and o b v i o u s l y i s b e t t e r then the Berry-Esseen

estimate when lxl i s l a r g e .

3. In the Berry-Esseen estimate the absolute moment can be replaced by the so-

c a l l e d pseudomoment v = 5]xl 3 dlF"-{l(x), where F"(x) = P(Xl-P<ox) and Ir"-{I denotes

the v a r i a t i o n o f F"-~. More p r e c i s e l y , the f a l l o w i n g estimate i s t r u e

s u p I F n ( X ) - { ( x ) I ~ c max(~,v~(n))n ~
X
where ~(n) = m i n ( n / 4 , 1 ) . This estimate i s b e t t e r than Berry-Esseen one when the d i s t -

r i b u t i o n of X I is close to the normal distribution in the sense that v is small

(recall that 63/g 3 ~ i always). Note that ~(n) =min(n/4,1) is unlmprovab]e here.

4. For any real function f on R define

~f(R) = sup{If(x)-f(y)l,x,y ~ R}

wf(x,c) = sup{If(y)-f(z) ,ly-xl < s, lz-xl < s}

f (x) = f(x+y).
Y
If f is Berel measurable and ~ is a distribution function on R, denote

~f(~,G) = 5wf(x,c)dG(x)

w~(~,G) = sup{~f (~,G),y £ R}

Y
If new f is a beunded Borel measurable function on R, then (supposing a = i for

simplicity)

l~f d(Fn-{)(x)I ~ c[mf(R]e n + m~ (c I ~n,{)] (23)

where mn = 63n 2 This is indeed a generalization of the Berry-Esseen theorem since

if we take f: f(z)=l For z< x, = 0 for z > x, then the left side in (23) is

IFn(X)-{(x)l , ~F(R) = I and, as it is easy to check

(z,¢) = I 0 when z ~ x-y - ¢ or z ~ x-y + E

~f
Y L I otherwise

~r (c,~) = f~r (z,~)d~(x)

Y Y
< (2I~)½~ ;

thus the r i g h t side i n (23) i s majorised by £n = c63 n-½"

The estimate (23) i s a r a t h e r general estimate which makes sense f o r an a r b i t r a r y

 10

bounded Borel measurable function f and at the same Lime it is precise (it implies
the Berry-Esseen estimate). The right side of (23) depends essentially on f and this
is something one should expect since in general we have only weak convergence of F
n
to {.

5. The summands Xj may not be identically distributed. Let XI,X2, ... be

independent real random variables and let E X = p, E(Xj-pj) 2 = o2.,j=1,2,j .... Denote
k J
s n2 = ~ o2J . If Sn ~ 0 then

n
IP(Snl i (Xi-~i) < ×) - {(x)i -< eSn-3 i=i
~ ElXi_Pil3

This estimate was obtained already by C.-G. Esseen himself.

6. The Berry-Esseen estimate has been genezalized to the multidimensional case.

Let (Xi = (Xil,.. ,Xik),i = 1,2,...} be i.i.d, random variableswithvalues in R k.

Denote EX I = p and let V be the covariance matrix of X 1 with elements vij = E(Xli-Pi).

(Xl.-p.). the distribution of the normalized sum n-~

Denote also by P v-½(xi_~)"
J j n 1
Recall that N is the standard normal distribution in R k and C is the class of all

measurable convex sets in R k. A multidimensional version of the Berry-Esseen theorem

states that there exists a constant e(k) such that for all n = 1,2, ...

suPlPn(A)-N(A)1 _<e(k)P3n-½
A~C

where P3 = EIV =(X1-p)13"

Remark 2. Since, as it is easy to see, for any two real random variables X,Y

IP(X<x) - P(Y<x)i _<AS~J~IP(XEA) - P(Y ~A) I

%Zsup P(X<x) - p(Y<x) I.
X

i n the ane-dimensienal case the problem o f e s t i m a t i o n o f sup { I F n ( X ) - { ( x ) l ~ x oR} i s

e q u i v a l e n t t o the problem o f e s t i m a t i o n o f s u p { I P n ( A ) - N ( A ) l , A e C}(up to a c o n s t a n t

We have described the main d i r e c t i o n s o f g e n e r a l i z a t i o n s and improvements o f the

Berry-Esseen e s t i m a t e by i n d i c a t i n g a simple r e s u l t i n each o f the d i r e c t i o n s , Of

ceurse a number o f estimates has been c o n s t r u c t e d which combine i n i t s e l f several

o f the above e x t e n t i o n s and improvements, We have chosen t o separate them t o be

able t o make clear the main ideas behind general estimates. Some general estimates

will appear in what follows .

 11

§ 2. ~he method of compositions. Estimates for convex and arbitrary Borel sets.

In this section we shall obtain some estimates of the speed of convergence in

the multidimensional central limit theorem using the method of compositions. Estimates

will be given for deviations on convex sets and (under some restrictions) arbitrary

Berel sets. To make the proofs somewhat more simple and transparent we assume the

existence of the third moment (the estimates become trivial when it does not exist).

Note that this assumption can be considerably weakened,

Theorem i. Let XI~ X2, ... be a sequence of independent random variables with values

in R k with the same distribution P. Suppose that EIX112 < ~ and that the eovariance

matrix V of P is nondegenerate. Denote P the distribution of the normalized sum

n

n-½ i v-½ (Xi-P), where p=EXt, and let N be the standard normal distribution in Rk.
1
Then

1. There exist c(k) such that for all n = 1,2, ...

supIPn(A)-N(A) I < c(k)~n 2 (1)

Ace
where

^ I vifv >-I'
~= ~ = flxl31#-N[(d×) (2)
max(v,v nk/(k+3)) if v < 1 ,

and P is the distribution of V-2(X -~) (d is called 3rd preudomoment of P)

1
2. There exist two constants Cl,C 2 such that if v<c I then for a]] n=1,2,...

~n = /Pn N[(Rk)
- ~ c2vn-½ (3)

The constant c(k) may be taken to be

~(k) ~ Ek, (8)

^

Remark i. Note that in the definition (2) of v the power nk/(k+3) is the best possible,

i.e. it cannot be replaced by a larger one. Indeed~consider the Borel probability

measure Ps' c > O, on R k defined by

P (B) = N(B fl S:) + (2k) -1N(S E) l (XB(SCej)+XB(-scej))

- j=l
 12

where e. are the coordinate unite vectors and

J
s : C2(N(S ) ) - i S ixl2N(dx ) •
SE

Note t h a t P has mean 0 and c o v a r i a n c e m a t r i x I . For this measure P we have

C C

= ~ : Iixl ~ IP-Nl(dx)
= 3 N(S ) + i Ixl ~ N(dx)
E S

< e(k)£ k+3 .

On the other hand for smali

An : ~n(Cl.. = sup I Pn(A)-N(A) i

AEC

> Pe( {seej })n

= (2k)-n(a(s))n
C

> (Cl(k))n enk.

Thus far small

&n(E) > c ( k , n ) v nk/(k+3)

-- £

and v ÷ 0 as E ÷ O. This proves our assertion.

To prove Theorem i we shall need several lemmas.

Lemma 1. If Q is any probability distribution on R k then

IQ-NI(R k) ~ ek -3/2 v~/(k+3) (5)

where v I =Slxl ~ IQ-Nl(dx). If moreover Q has mean zero and cevariance matrix I

then for all n > i

IQn-NI(R k) ~ [IQ-NI(Rk)] n + c(n)v] , (6)

where Qn is defined by Qn(B) = Q.n(n½B).

Proof. To prove (5) suppose first that 0 < v = IQ-NI(R k) < 2. Let R k = R+UR - be the

Hahn decomposition of R k with respect to Q-N, i.e. R +, R- are Borel sets such that

R+~R - = 6, (Q-N)(B) > 0 if B C R+,(Q-N)(B) < 0 if B C R - . Define measure M by

M(B) = N(Ba R+) + Q(Bh R-) .

We have
 13

#Ixl 3 IQ-NI(dx) Z #Lxl 3 IM-NI (dx)

= f l × l ~ (N-M)(dx) (7)

Note that M(R +) = 1 - v/2. Indeed

(Q-N)(R +) + (Q-N)(R-) = 0

(Q-N)(R +) - (Q-N)(R-) = v (8)

thus (Q-N)(R +) = v/2, and it follows that

M(R k) = N(R +) + Q(R-)

= N(R +) + 1-Q(R +)

= l-v/2 .

Take positive number r such that N(S r) : v/2. Then

N(S~) : l-v/2 = M(S r ) + M(S~)

and
M(S r) = (N-M)(S~).

Thus we have

Ixl ~ M(dx) _< r 3 M(S r)

S
r
= r3(N-M)(S~)

Ss c Ixi 3 (N-M)(dx)
r
and it follows that

~I xl3(N-M)(dx) : ( #s + SsC ) Ixl 3(N-H)(dx)

r

Z f IxL 3(N-M)(dx) + f Ixl 3 M(dx)

S S
r r

= S Ixl 3N(dx) (~)

S
r
New (7) and (9) i m p l y

~1 = J'lxl3 IQ-NI(dx) ~> J" lxl~ N(dx)

S
r
and we have, s i n c e IQ-Ni(R k) = v = 2N(Sr),
 14

qZg~N_j(Rk) 2N(S )
k/(k+3) < r
Vl -- ( ~ ixi3 N(dx))k/(k+3)
S
r

= r(r,k) .
I t is easy to check that f ( r , k ) as a function of r is nondeereasing and f(+O,k)
ck -3/2, which proves (5) when v / 0,2.

If v = O, (5) is obvious, and if v = 2, then Q and N are orthogonal ((8) implies

in this ease (Q-N)(R +) = l, and thus Q(R +) = i, N(R +) = 0), and we have

( ; ! x I 3 1 Q - Nl(dx)) k/(k+3) ~ (flxI3N(dx)) k/(k+3) = ck3/2[Q- NI(R k) .

Inequality (5) is proved.

To prove (6) consider first the case n=2. Noting that N(.) =Nn(n~) for all

n, we have for any Bore| set B

I%(B) - N(B) I = IQ~/TB) - .2(~B)I

= I(Q- N)2( ~/~- B) + 2 ( Q - N ) *N(/2- B) I (]0)

Now since (Q- N)(E) ~ (I/2) IQ- NI(R k) for any Borel set E, we have

I(Q- m ) 2 ( ~ B ) i ~ (I/2)[Q - N[(Rk)[IQ- N[(dx) = (I/2)[[Q - ml(mk)]2 . (II)

Furthermore if g(x) is a bounded Borel measurable function then for any t> 0

~(x) = f g ( x + y ) N t ( d Y ) : f g ( z ) @ t ( x - z)dz

is a smooth function and by Taylor's formula

a a
, x
~(x) = Z ~ %~(o) +r all)~3~-- Oa~(ex) (127
llalI~2 a~ ,L
where a are nonnegative integral vectors and I6i s l, For s> 0 and Borel sets

E denoting H(s ) = Q(sE) - N(sE) and observing that H(s ) has the first and second

moments equal to zero we have

I~g(x)N t *H(s)(dx) i = If~(x)H(s)(dx) 1

a

_<;IllaE[~3~T!Da,(ex) ] IH(s)T (dx)

But for any y
 15

xa k
IIall~3 ~ Da~(Y) = ~ fg(Z) Cu=lZ(z u - yu)xu/lxI33~t(z y)dz -

- t412x13 fg(z)(Zk % -Yu)Xu/IXl)@t(z-y)dz , (13)

u= ]

where x u (resp. yu,Zu) are the coordinates of x (resp. y,z) and hence, since @
is symmetric
xa
I llall~=3aT.,
Da~(Y)t -< x2J-
~ sup {g(=)l (Tt6 ]'1~113@t(z)dz + t 4 f l z l l * t ( z ) d z ]
-< c sup lg(z) l t 3 l x l 3
Z

Thus, since flxl3lH(s)l(dx) = s-3v I ,

[fg(x)Nt*H(s)(dx) ] -< c sup ]g(z)]s-3t3v I (14)

Z

From (I0), (II) and (14) with g(x) = × (x) and s,t=l we now deduce (6) for n=2.
~-B
When n>2 let us observe at first that for any Borel set B

I(Q-N)n(B)I -< (I/2)EJQ-NT(Rk)I n, n=l,2 .....

Indeed we have seen that this is true for n = 1 ,2 and for n> 2 using induction

on n we have
I(Q-N)n(B)I = If(Q-N)n-l(B-X)(Q-N)(dx) I
sup I(Q- N)n-I(E)IflQ- Nl(dx)
E
(]/2)[IQ- NI(Rk)] n

(the sup here is taken over all Borel sets E). Now, using the above estimates, we

obtain IO~(B)-N(B)I = IQn(n½B)- Nn(n½B) l

= I Z C'~)(Q-N) i ,Nn '(n~B) I

i=l

-< { (Q-N)n(n½B)I
n-l
+ If (Q-N) *N(n½B-x)( Z (n] (Q-N) i-I *Nn-i-I (dx) l
i=l
-< (I/2) [IQ " NI (Rk)]n + supl (Q _ N) * N(E)[ -c(n)
E
_< (l/2)[JQ-N1(Rk)]n+c(n)vl,, • D

In the proof of the next |emma we shall need one fact from the theory of convex

sets in R k. Recall that a convex subset of Rk is called regu|ar if all its boundary
 16

pmints and all its support hyperplanes are regular. By definition a support hyperplane

of a convex set is regular if it meets its boundary in only one point and a boundary

point of a convex set is regular if it lies on only one support hyperplane. The result

we shall need is: if A is a bounded convex set with non-empty interior then for any

> 0 there exist two bounded closed regular convex sets RI, R 2 such that

RIC A C R2, R2 C R~ . (15)

Regarding this result one can consult, e.g. [13].

Recall also that f o r any s e t E by ~E we d e n o t e i t s b o u n d a r y and by E~ i t s

~-neighbourhood, i.e. E e = U{S (x),x E E}, SE(x) being the open bali of radius e

with center at x.

Lemma 2. There exist a constant c(k,s),s ~ O, such that for any c > 0 and any convex

A C Rk~
IXl s N(dx) < c(k,s)c.
(~A) ~
Proof. We shall prove the lemma for the case k = 2. With trivial changes the proof

carries over to the case of any k >2. The set (~A) C may be represented as

(~A) ~ : A E x A -E : (ASxA) U (A \ A-~)

where A-c= U{x:S (x) C A}. We shall show that

S

Ixl s N(dx) ~ c(s)~ . (16)

A£xA
The same bound for the integral over the set A \ A -c can be obtained in a similar way.

It is enough to consider only bounded convex sets since for any r > 0

AC \ A C ((A N St+ ~ ) s \ (A N St+ )) U S c

r

and fsclxlS N(dx) ÷ 0 as r + ~. Now, if A has an empty enterior, then A is eantained

in a line L, say, and if u is the distance from the origine to L, then

Ixi s N(dx) Ixl s N(dx)

AsXA L£ U+£
< c(s) ~ (IXl Is + Ix21S)N(dx)
Xl=U-£

< c(s)c

(here Xl,X 2 are the coordinates of x in a system of coordinates with the ist axis
 17

orthogonal to L),

Thus we can suppose that A is bounded and with interior points. Then for any

> 0 there exist regular bounded convex closed sets RI, R 2 satisfying (15). If the

lemma is true for such regular convex sets, then, since obviously A ~ \ A c R ~ + S \ R I ,

we have

I I xls N(dx) < I Ixl s N(dx) < e ( s ) ( 6 + s )

AE \ A - R ~ + c \ R1

for any ~ > O, and hence %he lemma is true for any convex set.

Now let A be a regular closed bounded convex set. Denote by AI(A 2) the set of

those points of ~A at which the cosine of the angle between the external normal to A

and the positive (negative) direction of the 1st axis is >_ 2 -½ . The sets AS, A 4 are
4
defined similarly with respect to the 2nd axis. Clearly 8A = UA.. Denote now
I l

A!z = U{nxc' x ~ Ai},nx~ being the set of points on the external normal to A at x with

distance from x not greater then s. The sets A!l are obviously bounded and closed and

we have
4
As \ A c U A! (17)
1 i
Indeed let y ~ A ~ \ A and let y' be th6 nearest point in 8A to y. We claim that

y ~ n~,. If it is not so consider the line £ which is perpendicular to y'y and

contains y'. There exists a point z of A belonging to the same open half plane defined

by ~ as y. The segment joining z and y' will contain then a point z' of A which is

closer to y than y'. The obtained contradiction proves (17).

Let now L be a straight line which is parallel to the 1st axis and interesects

A~'. Denote by x' the point in L n A.'

± at which the ist coordinate of the points of the
0

set L n AJ~ attains its minimum. Let x ° ~ A 1 be the point such that x °' nE and x"
x o
o
be the point on the external normal to A at x with the distance to x equal to s.
o o
Draw the line ~ through the point x" which is parallel to the support line to A at x .
0 0

g\ ,,
 18

It follows from the definition of A~ that ~ intersects L in some point x, whose first

co-ordinate is greater than the first coordinate of x' and whose distance from x' does
O 0

not exceed ~ . Since the set A ~ lies on the same side of the line ~ as the point
I
Xo, the set L N A~ is contained in the segment joining X'o and x (of length _< c /~).

In other words, we have shown that the section A](y 2) of the set A~ by any straight

line of the form {x = (Xl,X 2) : x 2 = y2 } can be covered by a segment of length ~ evz2.

From this we have

lxi s N(dx) l I lxl e x p { - ( 1 / 2 ) ( x iz+ x zz) } d x I dx 2

f
Ai AI

f e ( f txll Ixzl )e dxl)dx 2

AI A](x z)
< c(s)E.

Similarly [ Ixl s N(dx) ~ c(s)c, i = 2,3,4. In view o f (17) t h i s proves the

A~
1
lemma. 5

Remark 2. Later we s h a l l need estimates for c(k,O) and c(k~3) i n Lemma 4. From the

k-dimensional version o f the given p r o o f of Lemma 2 i t f o l l o w s t h a t c(k,O) ~ ck 3/2,

c(k,3) < ck 3/Z (see [32]7 Lemma 1). A considerably more complicated proof (see e.g.

[ 8 ] , Theorem 3.1) leads to b e t t e r estimates e(k,O) ~ ck ½, c(k,3) ~ ck2. On the other

hand i t can be shown t h a t c(k) ~ Cl(lOg k) c2 (see [ l l ] ) . The question o f the t r u e

asymptotic behaviour o f c(k,s) ( i n p a r t i c u l a r of c ( k , O ) ) i s s t i l l open.

For any r e a l f u n c t i o n f on Rk denote

VC
fC(x) = sup { f ( y ) , y ~ S (x)}, f (x) = i n f { f ( y ) , y e S t ( x ) } -
C

Since { x : f e ( x ) > u} = U{S ( y ) : f ( y ) > u}, the funetions ~ ( x ) and } e ( x ) = - (_~)e are

Borel measurable.

Lemma 3. Let P,Q,R be any three p r o b a b i l i t y measures an Rk. Assume t h a t

R(Sv) ~ u for some v > O, 2-1 < u ~ 1 (18)

Define measure RT by RT(E) = R(TE) and put t = vT-1, f x ( y ) = f ( x + y ) . For any bounded

Bore1 measurable f u n c t i o n f denote

 19

6 = sup { I f f x ( Y ) H ( d y ) l } , H = P - Q
X

: ^ vt
6T sup { m a x [ I S f ~ ( y ) H * R T ( d Y ) l , l [ f x ( Y ) H . R T ( d Y ) l ] }
X

v
TT = sup { m a X [ l ~ f 2 t ( y ) - f (y))Q(dy),~(f (y)-f2t(y))Q(dy)]}.
X X X X
x
Then f o r any T > 0

2 (2u-l)-i (6T'PYT).

Proof. Suppose that 6 : sup{~fx(Y)H(dy)}. The ease when ~: - inf{~fx(Y)H(dy)} is

treated in a similar way. For any c > O there exist x such that [fx
. (y)H(dy) > 6 - S,
E
Denoting f l : fx we have
£

~T z ( f + ~S~:) [5~tI(y+z)H(dZ)RT (dy) "

St
If IYl < t
fl ( z) ~ ^t
fl(y+z) ~ ^~t(z
f )
and

~;~(y+z)H(dz) > S fl (z)(dz) + S(fl(z)-~}(z+Y ))Q(dz)

> 6 - ~- t (z) -fl ( z ) ) Q ( d z )

>_. 6 - ~ - YT "

On the other hand for any y ~ Rk

5~(z+y)H(dz) > 5fl(z+y)H(dz) + 5(fl(z+y)-f~(z+y))Q(dz)

>- 6 - 5(ftx +y(Z) - fx +y(Z))Q(dz)

>-~-YT'
^±
since, as it easily follows from the definitions, fl(z+y) = fxc+y(Z) and fl(z+y)
ftx +y(Z). Thus

~T > (~-C-TT)RT(St) - (~+YT)RT(S~)

Z ~ ( 2 R T ( S t ) - I ) - Y T - ~"

Since c is arbitrary small and, by (18), RT(S t) = R(S v) ~ u, this proves the lemma.~

Corollary i. Preserving the notations and assumptions of Lemma 3 for a Borel set B
define
 20

supIH(B+x) I
X

sup { m a x [ l ( H , R T ) ( B t + x ) l , [ ( H * R T ) ( g -t +x)]}
X

sup {max[R((B2tXB)+x), R((B\B -2t) + x)]} ,

~T
X
Then

~' ! (zu-1)-l(~} + ~})-

Proof. Take f(x) = XB(X), the indicator function of the set B. Then the definitions

imply easily that

fx(y) = XB_x(y)

vt
~(Y) : XBt_x (Y), fx(Y) : XB_t_ x (Y)

(y), fx(Y)-~t(y) - (y) •

~t(Y)-fx(Y) = X(B2t\B)-x -X(B\B-2t)-x

Thus f o r t h i s function f, ~ = 6 ' , 6 T = 5} , 7T = y ' and Lemma 3 i m p l i e s the Corollary. O

T

Corollary 2. For any p r o b a b i l i t y measure P on Rk

sup I ( P - N ) ( A ) I £ 2[supI(P-N).NT(A) I + ckT-1].

A~C A~C

Proof. Take i n C o r o l l a r y l~Q = R = N and o b s e r v e t h a t if A i s convex t h e n b o t h At and

A- t are convex. Note a l s o t h a t

( A 2 t \ A)+x = (A+x) 2t \ (A+x)

(A \ A-2t)+x = (A+x) \ (A+x) - 2 t .

Thus Corollary 1 with u = 3/4 and Lemma 2 imply

supi(P-N)(A) ~ 2[ sup I(P-N)*NT(A) i + c(k)2vT-l],

Ace A~C

where c(k) is the same as in Lemma 2. According to Remark 2 we may take c(k) ~ ck ½

On the other hand for v we have the relation N(S v) ~ u = 3/4. Take v = v(k) such that

N(S v) = 3/4. To finish the proof of the Corollary it is enough to show now that

v ( k ) k -½ ÷ 1 as k ÷ ~.

We s h a l l show t h a t , more g e n e r a l l y , if 0 < w < I and v : v(k) i s such t h a t

N(S v) = w, t h e n
v ( k ) k -1 + ] as k ÷ ~ (19)
 21

Let Zl,Z2,... be i.i.d, normal (0,I) random variables. Applying the central limit

theorem we have for any X > 0

N(S~k½) = P (( l~ J < Xk½)

: P(k-½( ~ (Z]-I)) < (X2-l)k ½)

1

+ {~ ,

LO, 0 < X < I.

k > 1

X=I

k
Since 0 < P(( Z2)
j ½ < v(k))= w < 1, for any XI, X 2 such that 0 < X 1 < 1 < X2 we
1
thus have

Xlk½ < v(k) < X2k½

when k is large enough. Hence v(k)k -½ ÷ i as k ÷ ~ which finishes the proof. 0

For any real functicn f on Rk, E ~ R k, x,y ~ Rk,¢ > 0 define

~f(E) sup{If(z z) - f(z2) l, Zl,Z 2~ E

wf(x,c) = ~f(Sc(x)) (20)

f (x) = f(x+y).
Y
If f is Bore1 measurable and M is a Bore1 measure on Rk, denote

~r(c,M) = S ~f(x,c)M(dx)
(21)
m~(x,M) = sup{gf (E,M),y ~ Rk}
Y
Corollary 3. Preserving the notations and assumptions of Lemma 3 we have
ISf(x)(P-Q)(dx)I % (2u-1)-I[wF(Rk)t(P-Q)*RTI(Rk) + ~(2vT-I,Q)].

Proof. We have

l[f(x)(P-Q)(dx)l ~ 6 , 6T ~ WF(Rk) I(P-Q)*RTI(Rk)

and
^~t(y) v~t(y))Q(dy )
ZT £ sup [ ( f - f
×

= ~)(2t,Q)

since ~ t ( y ) _ ~x2 t ( y ) = m f ( y , 2 t ) 9 and t h e C o r a l l a r y fallaws. ~

×
 22

Proof QF Theorem I. Without loss of generality we may suppose that p : 0, V : I.

The general case is reduced to this one by considering the sequence of random variables

V-½(Xj-p),j=l,2,... which have mean 0 and covariance matrix I. We shall assume also

that v < ~, or, equivalently, that EIX113 < m (otherwise the theorem is trivial). If

n < (k+3)k -I (22)

then since P has mean 0 and covariance matrix I, we have by Lemma 1

sup IPn(A)-N(A)I < (1/2) IPn-NI(Rk)

A~C
n k-3n/2 vkn~k+3)
< c + e(n)~

< c~ -~

(note that the condition (22) implies n < 4). This proves the theorem in the ease

(22).
^

Let now n > (k+3)k -I. In this case we have v : v. We may also suppose that

v Z cI (23)

(when (23) is violated we have (3) and (1) Follows from (3)).

To prove (i) we shall show now that if it is true for all values of n smaller

than some fixed value, with constant ~(k) large enough to satisfy (4), then it is also

true for this fixed value of n with the same constant c(k).

Denote by P(n) the distribution of n -½ X 1. Since P = pn

n (n) and N = N n ½ , we
n
have for any T > 0 (ef.g i, (10))

(Pn-N)*NT : (P~n) - N~½)*NT

n-I
Hi •n-i-l, ,
(P(n)-Nn½)*(i! 0 r (n)*mn½ )*m T

n-1
ni ,i , , n-i-i
E ~ ( r , ,-,~ 1,*,~ 1 * NT + n N ~ I * N T ] * ( P ( n ) - N n ½ )
i:l vn) n-~ n~

n-1

( ~ U i + nUo)*H I (24)
i=l

where
 23

i i
U i = HI *NT., i =0,n-l, H i = P(n) - N ½, i = l,n-I
I n

HO . ~0'
. ~i
. . ((n i l)/n +T-2) -½ , i = O,n-I (25)

(~0 is the probability distribution concentrated at the origin).

Fix a convex set A. To estimate

lu i * H](A) I = f Hi(A - x)m * Hl(dx)

Ti
we can apply (14) with
1
g(x) = H i ( A - x ) , t=~i, s=n ~

(note that H = H ~ in the notation of (14)). This gives

lU i * H I ( A ) I ~ c sup I H i ( A - x ) In-3/2T? I ~ . (26)

x

Moreover, for i ~ ( k + 3 ) k "1 we have by t h e inductive hypothesis f o r any convex

Borel set B
IH~(B)] = IPIn)(B) - Ni~(B) I
n~

= Ipi((n/i)½B) - N((n/i)½B)l
i
c(k)~i -~ (27)

If i < ( k + 3 ) k -I we shall use the obvious estimate

IHi(x) i < I . (28)

From (26) - (28) it follows now that

-
c(k)cv2~ i- ½ n - 3 / 2 , (k+3)k -I <isn-2
I

lu i *HI(A) i s (29)
cvn -3/2, O < i < ( k + 3 ) k -1, i <n -2

since when i sn-2, i < ( k + 3 ) k -I we have

T. s ( n / ( n - i - l)) ½ s c . (30)
I

Note now that in the same way as we obtained (14) we can prove that (in the

notations of (14))

fg(x)N t * H(s)(dx) j s c sup lg(z) I s - l t f j × l l q - Nj(dx)

Z

(in proving this instead of (12) one uses the expansion

 24

= ,(0) ]loii , 9
Like (14) implies (26), this implies

IUn_ 1 *HI(A) I ~ c sup IHn_l(A-x) In ~iflxIIP- NI(dx) . (31)

x

Together with (27), (31) gives

IUn_ 1 *HI(A) I < c c ( k ) n ' l T v f l x l l P - N l ( d x ) . (32)

Now
flxllP-Nl(dx) = (fSl + J ' S ~ ] J x t l P - N I ( d x )

_< I P - N I ( R k) + v (33)

and by Lemma l
I P - N I (R k) < ck -3/2 vk/(k+3) (34)

Since by (23)
k/(k+3) ~ ci 3/(k+3)v

and, obviously

C-3/(k+3)
l ~ C ~

(33), (34) imply

#I×IIP- Nl(dx) ~ cv . (35)

Together (32) and (35) give

JUn_ 1 *HI(A) I o~ c(k)c~2Tn "1 (36)

Summing i n e q u a l i t i e s (29) and (36), using (13) ~1, we obtain

1
J(Pn " N)*NT(A) I ~ evn ~ + c(k)cv2Tn -1 (37)

Inequality (37) together with Corollary 2 imply

I(P n - N ) ( A ) j ~ c(vn -½ + c(k)v2Tn -1 + kT -1) . (38)

The r i g h t side in (38) attains its minimum when

 25

T I 1
T = c(k) ~k~)-ln ~

and with this value of T is equal to

c(k)x>n . ~ [ c.( c ( k.) -]. + c(k) =k½)] . (39)

Taking c(k) large enough to make the expression in square brackets in (39) to be

I (which is the case when c(k) ~ck, c being an appropriate constant) we finish

the proof of the first part of the theorem.

To prove the second part of the theorem again we shall use induction on n and

start with the representation (cf. (24))

n Nn½
Pn - N = P(n) -
n

n-2
= ( ~ V i + Hn_ I + nVo] *H] (4o)
i=]

where

V i = H i * N t . ,, i = O , n - 2 , i
H i = P(n) - N ni½' i = I 'n-1

(41)
H0 = 60, t i = ( n / ( n - i - 1)) ½, i = O , n - 2 .

Fix a Borel set B. Exactly in the same way as (29) we obtain

t c2v 2 t i3i -½ n -3/2 , ( k + 3 ) k - ] _< i ~ n - 2

Iv i*HI(B) I ~< (42)
[cvn -3/2, 0_< i < ( k + 3 ) k -1

Also

/N~_~ *HI(B)t = ffHn_l(B-×)Hl(dx)l

suPlHn.l(B-x) l[fHlt(dx) •
X

By the inductive hypothesis for any Borel set E

n-I Nn~1(E) i
IHn_I(E) I = I P ( n ) ( E ) - n2

= JPn_l((n/(n -1))½E) - N((n/(n -1))½E)

c2v(n -1)-½
and by Lemma I
 26

#IHll(dx) = IP - NI(R k)
ck-3/2~ k/(k+3) " (43)

Thus

!Hn_ I *HI(B) I ~ c2ck-312v(2k+3)/(k+3)n-½ (44)

Summing inequalities (42) and (44) and observing that

n-2~ t3, i-½ s n3/2#In-2 ( n _ x _ i)_3/2(x_ l)_~dx+n3/2(n_2)- ½

i=l

cn (45)

we obtain

' k/(k+3),-3/2,~
~n ~ c2~n-~[c(c21 + Cl + Cl K JJ . (46)

Taking cI small enough and c2 large enough we can make the expression in square

brackets in (46) to be less than I. D

Theorem 2. Under the same conditions and with the same notations as in Theorem I

I. There exist c(k) such that for any convex Bore] set A for all n=1,2,...

IPn(A) -N(A) I <~ c(k)~m-~(l +r3(A) (47)

where

r(A) = inf(Ix I , x~gA} .

2. There exist two constants c3, c3(k) such that if < c3 then for all
n =1,2~...

flx]31Pn-Nl(dx) < c3(k)mn-½ (48)

3. There exist two constants c4, c4(k) such that if ~ < c4 then for any

Borel set B for all n=l,2,...

IPn(B ) - N(B) I ~ c4(k)vn-½(l + r3(B)) -l (49)

The constants c(k)~ c3(k) , c4(k) may be taken to be

c(k) ~ck 5/2, c3(k) ~c~k 3/2, c4(k) ~c¼k 3/2 .

 27

The proof of Theorem 2 is based on the following smoothness lemma.

Lemma 4. Let P be a probability distribution on R k with mean 0 and covariance matrix

I. DenoLe

Q = P-N, R(A) = r 3 ( A ) Q ( A ) , 6 = sup R(A) I

A~C

QT = (P-N).NT, RT(A) : r3(A)QT(A),~T : sup IRT(A)I.

AcC
Then for any T > I

6 < 6~ T + ck 5/2 T-1 (50)

-- I

A somewhaL long proof of Lemma 4 is based on a number of auxiliary facts which

we state as Lemmas 5-8.

Lemma 5. i. For any E c R k, x e R k, X ~ R l

Ir(E)-r(E+x)l £ Ixl, r(XE) = Xr(E)

2. If E ( Rk, £ > 0 and 0 ~ E~ t h e n r(E) - r ( E C) = c

The proof of Lemma 5 is elemenLary and is omiLLed.

Lemma 6. For any probabiliLy measures P,Q on R k, any s > 0 and any Bore1 seL B C Rk

rS(B)IP(B)-Q(B)1% [ Ixl s IP-ql(dx)

f Ixl s (P+Q)(dx).
Proof The second inequality being obvious, we have t o prove only the first one.

DenoLe

= f B, if 0 ~ B

I g c, if 0 ~ B
Then

rS(B) IP(B)-Q(B)I = rS(B) IP(B)-Q(B)I

rs(~)IP-QI(B)
< flxl s [ P - Q l ( d x ) .

Lemma 7. l) For all s, r=0,3, t > O

flxl s [ X l l r~ ( x ) d x = c ( s , r ) ~ - s - r r ((k + s + r)/2)/r ((k + r)/2)

< c ~ - s - r k s/2
 28

2) For P the same as in Lemma 4 and s = 0,2

5[×1 s P ( d x ) s k s / 2

Proof. The first assertion of the lemma is verified by a direct calculation. The

second one f o l l o w s from flxIP(d×)~ ( f l x l 2 p ( d x ) ) ½ = k½ . D

Lemma 8. Let w,v = v(k) be such t h a t 0<w< 1, N(S v) = w. Let A be a s e t w i t h

boundary contained in the union of the b o u n d a r i e s of a t most two c o n v e x s e t s .

-1
Finally let T be a number ~ l . Denote t = vT We a l s o preserve the notations

of Lemma 4.

(1) Suppose Ixl < t. If (a) 0 4 A 2t or if (b) 0~A and r(A t) - r(A) ~ t,

then
r3(At)Q(A t -x) ~ R(A) - ck5/2T-I (5~)

(2) For any xe R k

r3(At)Q(A t -x) ~ R(A t - x) - c(klxI +k½1xl 2 + IxI3). (52)

Proof. (1) (a) We have

A c A t _ x c A 2t

Thus
r3(At)Q(A t-x) ~ r3(At)(p(A) -N(A2t))

R(A) + (r3(A t) - r3(A))P(A) + r3(A) N(A)

- r3(At)N(A 2t) . (53)

Since r(A) - r(A t) =t by Lemma 5,2), we have

(r3(A) - r3(At))p(A) _~ 3tr2(A)P(A)

3tflx[2p(dx) = 3tk . (54)

In the case we consider r(A 2t) ~ r(A), hence

r3(A)N(A) - r3(At)N(A 2t) ~ r3(A2t)N(A) - r3(At)N(A 2t)

= r3(A2t)(N(A) - N(A 2t) + (r3(A 2t) _ r3(At))N(A 2t) . (55)

By Remark 2,

r3(A 2t) (N(A) - N(A2t)) ~ I IxI3N(dx) ~ ck2t 6 (56)

J
A2t\A

Moreover, since r(A t) = r(A 2t) +t ,

 2g

(r3(A2t)-r3(At))N(A2t) = -[3tr2(A2t)+3t 2 r(A) +-t3]N(A 2t)

- (3t#Ixl 2 N(dx) + 3t 2 #IxiN(dx) + t 3)

> - (3tk + 3t2k ½ + t3). (57)

From (53) - (57) and (19) we deduce (51).

i), (b). As in the case (a) we have (53). Now 0 6 A implies r(A) ~ r(A t) and

and we may write

(r3(A t) _ r3(A))P(A) + r3(A)N(A) - r3(At)N(A 2t)

= (r3(A t) _ r3(A))(P(A)-N(A2t)) + r3(A)(N(A)-N(A2t))

= (r3(A t) _ r3(A))(-P(A C) + N((A2t) C) _ r3(A)(N(A2t)_N(A~

-(r3(At)-r3(A))p(Ae) - r3(A)(N(A 2t) - N(A)). (58)

Since r(A t) - r(A) < t, by Lemma 7 we have

(r3(A t) - F3(A))P(A c) ~ (3tr2(A) + 3t2r(A) + t3)p(A c)

3 + flxI2p(dx) +3t2flxIP(dx) +t 3

< 3tk + 3t2k ½ + t 3. (59)

Furthermore, by Remark 2

r3(A)(N(A 2t) - N(A)) ~ S Ixl 3 N(dx) ~ ck2t. (60)

A2t\A
Relations (58) - (60) and (19) imply (51).

2) We have

r3(At)Q(At-x) = R(At-x) + (r3(A t) _ r3(At_x))Q(At_x)

and, since by Lemma 5 I(r(A t) - r ( A t - x ) l ~ Ixl ,

Ir3(A t) _ r3(At_x) I ~ Ixl 3 + 31xl 2 r ( A t - x ) + 31xlr2(At-x).

Applying now Lemma 6 and 7 we obtain

Ir3(A t) _ r3(At_x) IQ(At_x) ! c(klxl+k½1xl 2 + Ix13),

which proves (52). 0

Proof of Lemma 4. Fix T ~ 1,take v = v(k) such that N(x:ix I < v(k)) = 7/8 and take

e > 0 such that e < k5/2 T -1. Denote t = vT -1. Since R(A) = - R(A c) and
 30

6 = sup IR(A) I we can choose A such that R(A ) > 6-c, which is either a convex set
A~ C
or the complement to a convex s e t .
1. Suppose f i r s t that O# A 2 t . Then
E

6 T Z RT(A ~) = ( + ~ )r3(Atc)Q(At-X)NT(dX)
l×l<t ix Izt
= I 1 + 12.

By Lemma 8, i), (a) we have

I l ~ (R(A E) - ck 5/2 T-I)NT(IXI< t)

(6-E-ok 5/2 T-1)N(Ixl < v(k))

= ~7 (6-c -0k5/2 T - l ) .

By Lemma 8, 2) and Lemma 7 we may write

2
12 ~ # (R(At-x)-c(klxl+k21xl + IxlS))NT(dX)
Ixizt

- 6 NT(IX I Z t) - ck 3/2 T -1

= - 6/8 - ck 3/2 T-I.

Thus

6 T ~ ~3 6_ck5/2 T-1 - ~7 c (61)

2. Let now 0 ~ A2t'c Since R ( A ) = r3(Ac)Q(A)> 6-c and IQ(A)I _< I , we have

r3(A ) > 6-c. We may also suppose 6-~ > (2t) 3 since otherwise 6 < e + (2t) 3 < ek 5/2T-
c
by t h e c h o i c e o f e and ( 1 9 ) , and (50) f o l l o w s , Thus r(A ) > 2 t . Together with

0 ~ A 2t this implies in particular 0 ~ A Denote r = r(A ) and take q such that

0 < q < r - 2t. We have

At~ = (A ~ Sr _ q ) t U Sr-q-t' ( A c \ Sr-q ) t n ~ r - q - t :

r((A c \ Sr_q)t) = r-q-t < r.

fhus
RT((Ae~Sr_q)t) + RT(S~_ n) = (r-q-t)3(Q.NT)(A~)-RT(Sr_q_t)+R(Sr_q_ t)

< IRa(At)lie + IRT(Sr~~-t )I + lRT(Sr-~*t )I < 3~T" (62)

 31

On the other hand

]" + Ixl>L)[r3((AE\S r_q)t)Q((A~Sr_n) t - x )

RT((A~\ S\r-q)t) + RT(S ;_q) : (lxl<t

+ r3(S t )Q(S t -x)]NT(dX) = 13 + 14- (63)

r-Q r-q
By Lemma 8, 1), a) with A = A \ S r-q and i), b) with A = Sr_q+ t

13 > (R(Ac\Sr_ ~ + R(Sr_ q) - ck5/2T-I)NT(IXl < t)

= ~7 ((r-q) 3 Q(A ) - ck5/2 T -i)

>-~7 ((1 - ~)3 (~_e) _ ck5/2 T-l) . (64)

Note now that

(As\ Sr_q)t-x ( A ~ \ S r _ q _ t) - x = (Atc - x ) \ ( S r i q _ t - x )

At-x~g -x
£ r-q-t
and
r((As\Sr_n)t _ x) ~ min ( r ( A ~ - x ) , r ( S r _ q _ t - x ) ) .
Thus
I R ( ( A ~ Sr_n)t-x) + R(S~_q-x) I

IR(A~ -x)l+ IR(~r_q_t-x)l+IR(S~_q-x)l~ 36 .

Hence by Lemma 8, 2) and Lemma 7

R((A X S )t _ x) + R(S~_q-x)
Z4 ~ ixi~ t ~ r-n

- c ( k l x t + k½ Ixl 2 + Ixt3)NT(dX)

-(36. ~1 + ck3/2 T - l ) . (65)

Relations (62) - (65) now imply

36 T ~ 7 (1- ~)3 (6-¢) _ ck5/2 T-I - ~3 6

and, q being arbitrary small, we obtain

36 T _> ~ _ ck 5/2 T-I _ _~ ~. (66)

Thas in all cases we have either (61) or (66), and since s can be taken arbitrary
small, this imply (50). D
 32

In the proof of Theorem 2 we shall need yet another auxiliary fact contained
in lemma lO. To prove it we first prove

Lemma 9. If Yl'"'' Yn are i.i.d, real random variables with EYi = O, EY~ = I, then

El n
[ Yi 13 2 4nEIY1 t3 + 2n3/2, (67)
1
Proof. We may suppose ElY113 < ~ and denote f o r b r e v i t y sgn u = f ( u ) . We have

n n n n
Ei ~ Yi i3 = E( i Yi)2( i Yi)f(~ Yi) = nE( ~ Yi)2 YIf( ~ Yi )

n n

nEY31f( i Yi ) + 2nEy21( i Yi )f( i Yi)+nEYI(~ Y)2f(~Y)

Ii+I2+I3"i
1i =
(68)
Clearly
3
JIli 2 nEiYll
n
i121 < 2nEy2Ej i vil -< 2n(E( ~ Yi)2)½ _< 2n3/2. (69)

Denoting
n n n
E = {IY]i > l ~2 Yii }' F1 : { ~ Yi > O}, F2 = { ~ Yi < O}

we may also write

13 =([+ I + I ) nYl(~ Yi )2f( Yi )dP = 31 + 32 + 33 •

E EeFl EeF2

Obviously

lJiI 2 nEIYII~ (7O)

n n n
Note now t h a t on EeF 1 we have IYIj 2 [ 2~ Yil = ~ Vi and hence f(~1 Y i ) = 1. Thus

n
J2 = n( I - # )YI( ~ Yi)2dP •
F1 EFI
Moreover denoting XF1 the i n d i c a t o r f u n c t i o n of F 1 we have

FSl Y1 ( n~ Yi)2 dP = EYIE( i Yi)2 XF1 = 0 .

Hence

iJzl 2 n I iYlh3 dP 2 nEIY113. (7i)

EF1
 33

Exactly in the same way

iJ31 ~ nEJYI i3 (72)

Now (68) - (72) imply (67). D

Lemma i0. In the notations and conditions of Theorems i-2 with m = O, V =I, for any

8orei set 8 C R k and all o = 1,2, ...

r3(B)]Pn(B) - N(8) I < ~(k 2 + k½ ~)n 2) .

Proof, By Lemma 6 w i t h P = Pn' Q = N and Lemma 7

r3(B) IPn(B)-N(B) i < ~ txl ~ (Pn+N)(dx)

< EJYnt3 + ck3/2

k
OenoLing Xi = ( X i l , . . . , x i k ) , Y n = (Ynl"'"Ynk) and using i n e q u a l i t i e s
1
k k k
k2( ~ i~i13) ~3 < ( (~)3/2 valid for any real numbers (zI .... '~k' we have by

Lemma 9
k
ElYni~ < k½E Z IYn313
j=l

< k½ k
(4n-2EJXijl 3 + 2)
j=l

< 4k½n-½ EiXlI3 + ck 3 / 2

< ~(k 2 + k ½ n-½ v)

since EIXIt 3 = S lxt ~(P-N+N)(dx) ~ v + ck 3/2 . 0

Proof of Theorem 2. As in the proof of Theorem i we may suppose without loss of

generality that p = O, V = I, EiX113 < =.

Let us prove first (48). For this we shall use induction on n. When n = i~(48)

is obvious. For n > 1 we shall use representation (40) and notations (41).

Note that for any signed Borel measure M on R k

~lxl 3 IMJ(dx) = sup l S f ( x ) l x ] 3 M(dx) l, (73)

F~F
where F i s the c l a s s o f r e a l Borel measurable f u n c t i o n s w i t h suplf(x) ] < 1. Choose
X
 34

and fix a function f in F and denote

wi(×) = ff(x+y) lx+yi3Vi(dY)

= #ff(x+y+u) ix+y+ui3Hi(dY)~t.(u)(du)
I

= Hf(y +z) ly + zl3Hi(dY)#t(z x)dz - .

The function w.
I
is a smooth f u n c t i o n and we can define
a
G i(x) = w i(x) - ]Iall~2x___a!DaWi (0) .

Since the first and the second moments of the signed measure HI = P(n) -N± are
n2
equal to zero, we have

lff(×)lxl3Vl *Hl(dx) t = tfwi(×)Hl(dx) t

(/sl +/s~ )lQi(×)I!Hlt(dX) : tl +I 2 " (74)

Using now Taylor's formula (12) we may write

a
ii ~ #s 1 IllaiiL3 7xD a w i ( e x ) llHll(dx)

2 a (75)
'2 ~ i c(lW~(x)l + Z I ~ × DaWi(0) F (d×)
S1 j=O IlaEI J a'!-" )lHll "

To estimate Ii, I denote

2

gi(z) : ff(y+z)[y+zi3Hi(dy) .

Then
w.(x)
I
= fgi(z)*t (z-x)dz
|

and a s t r a i g h t f o r w a r d calculation shows that

a
Ilall~l ~ Dawi(Y)= t~lxlfgi(y+z)(x' , z ) + t i ( z ) d z
a
HallL 2 ~x DaWi(Y) -- (t2ilxi212)fgi(Y+Z)Et2i(x'
'z)2 -l]*t'(z)dzi (76)
a
Ilall~3~ Dawi(Y) = ( t 4 i l x l 3 / 6 ) f g i ( Y + z) ( x ' ' z ) Et2i(x''z)2 - 3]~t'l (z)dz ,

where ×'=×/l×l. Moreover since (~+B+y)3<_9(I~I3+IBI3+I~I3),~,B,y~R

[gi(y+z)t = Iff(s+y+z) ls+y+zt3Hi(ds)[

-< 9(xi+(lyI3+[z[3)~ i)
 35

where ~.
i
= /Isl31Hi[(ds),uiIHil(Rk).From
= the above formulas, Lemma 7 and the

symmetry of ~t we deduce now

jjaiiLj~-!DaWi(Y) I < clxlJ[tJ(zii+ lYl3~i) +tJ-3k3/2~.] I

. (77)

Clearly
/S IxI31Hl l(dx) ~ vn-3/2
1
# cI×l~IHll(dx) ~ #Ixj3lHl (d×) (78)
S1
-3/2
0~~ ~3

and by the inductive hypothesis we have

Xi = flYl31Hi I(dy) = (i/n)3/2flyI31Pi- mI(dY)

-½
c3(k)vi (79)

Relations (74) - (79) imply now for all i= 1,...,n -2

Il + 12 < cvn-3/2[c3(k)vi-½t ~ + (k 3/2 +t~)IHiI(Rk)] . (80)

Note that by Theorem 1 (assuming v< Cl)

-½
cvi , (k+3)k -I ~i ~n - 2
~i = JHi I(Rk) ~ { (81)
2 , i < (k+3)k -I i <n-2

Also if i ~n-2, i < (k+3)k -I then (c.f. (33))

t. = (n/(n-i - I)) ½ <c . (82)

I

Summing now inequalities (80), taking into account (81), (82), (45) and the elementary
n-2 _½ ±
inequality ~ i -<cn 2, we obtain
l
n-2
[ fff(x)l×13vi *Hi(d×) J ~ c,~n-3/2(c3(k)~n+k3/2~,n+k3/2). (831
i=l
By (79) and (5) we also have

} / f ( x ) Ixj3Hn_ I *Hl(dX) j = Ifff(×+y)Ix+yl3Hn_l(dx)Hi(dy)l

< 4flxl31Hn_lI(dx)I HI[ (Rk) + 4fly131HII(dY)] Hn_l I (R k)
1
_< cc3(k) k-3/2v(2k+3)/(k+3) n --2 + c~n-3/2 . (84)

Finally, (74) - (78) imply

 36

nlff(x) Ix I 3Vo *Hl(dX) I -<- cvn -'~A(to,k) (85)

where
A(t0,k) = t~ + k 3/2 ~ toJ
]=0
Note for later use that (85) is true for any to>O and any real Borel measurable f

with sup If(x) l <-l, and thus may be written as

X

flx131mr0~ .ll(dx) < cun'3/2A(to,k) . (86)

In the case we consider now

c' -< t o = (nl(n- l))½-<c" (n~2)

so that
A(to,k) ~ ck 3/2. (87)

Now (73) with M=P - N, (40) and (83) - (85) imply

n

flxI31Pn-Ni(dx ) ~ c3(k)~n-½[c(~+k-3/2v k/(k+3)

+ (I +v)k3/2(c3(k))-l]. (88)

Taking c3 small enough and c~ large enough, and assuming that ~ s c3,

c3(k ) ~c'k
3 3/2, we can make the expression in square brackets in (88) to be less than

I. This proves (48).

Estimate (49) follows easily from (48) and Theorem I. Indeed by Lemma 6 and

(48) if ~ < c3 then for any Borel set B

r3(B) IPn(B) -N(B) I ~ flx!3jPn- Nl(dx )

c3(k)~n-½ (89)

On the other hand by Theorem l, if ~ < cI then

I
IPn(B) - N(B) I ~ c26n-~ (9o)

Assuming that < c4= min(cl,c3), summing (89) and (90) and noting that v<_~

we obtain (49) with c4(k) = c z +c3(k) ~c~k 3/2.

In view of (1) and (49) to prove (47) it is enough now to show that if

~> c4 (91)

then for any convex Borel set A

 37

r3(A) IPn(A) -N(A) I z ~(k)~n-½, n=1,2. . . . . (92)

Again we shall use induction on n. When n= I, (92) follows immediately from

Lemma 6. For n> I we shall use representation (24) with T~ I and notations (25).

Fix a convex Borel set A and denote gi(z) = r3(A)Hi(A-z)

vi(x) = r3(A)Ui(A-x)

= Sgi(z)~ (z-x)d~ .
I

Let
X a
~i(x) = vi(x) -llall~2~F. DaVi(O) . (93)

As in (74) - (75) we have

r3(A) IU i *H](A) I z (SsI +SS~]Ivi(x)IIHIi(dx)

= i I +~, (94)
2
and a

x__ DaVi(0x) iiHl[(dx ) (95)

II ~ Ssllllall~3a!
2 a
') < I cCIvi(x)l + !olllal,
-
S1 J
a! DaVi(O)l]IHl
x__ I(dx) " (96)

Note that equations (76) remain true if we replace in them wi' ti' gi by vi' ~i'

gi' respectively. Moreover, Lemma 5, I) implies

igi(y+z) i ~ 9 ( r 3 ( A - y - z) + lyl 3 + I z i 3 ) i H i ( A - y - z ) l

9(~i+(lyI3+Jzl3)~I)

where ~ = sup r3(B) IHi(B) I p'. = sup IHi(B) I . Now in the same way as we obtained
C 'J C

(77) we deduce
a
Illall~ .aT× DaV i(Y)I -< clxlJE~(Xi' + IyI3~i')+TJ-3k3/2~!]
i i " (97)
J
By Lemma 5, l) and the inductive hypothesis for any convex Borel set B

r3(B)IHi(B)I = (i/n)3/2r3((n/i)½(B))l(Pi- N)((n/i) ½ B) I

^ I
c(k)~i m, (98)
and by Theorem I and (91)
JIll(B)1 =I(P i - N)((n/i) ½ B) I
-<. ck~ i-½ (99)
 38

From (94) -(99), Lemma 7 and (78) we deduce (using the fact that ~.->-I if T >-I)
I

r3(A) tUi , HI(A) [ _< cv 2n-3/2.-½,(c(k

, t ) +k)T~+k5/2) . (100)

Now (I00), (13) 51 and the elementary inequality i-~<cn a imply

I
n-2 3
r (A) IU i *HI(A) I -< c[(c(k) +k)T+k5/2]vZn-I (10l)
i=1
The term r3(A)[Un_ 1 *HI(A) I is estimated in a similar way, the difference

being that instead of definition (93) we put now

Vn_ ] (×) = Vn_ l(x) - Vn_ 1 (0)

(see also (35)). The resulting estimate is

r3(A) iUn_ 1 *HI(A) ] < c[(c(k) +k)T+kS/2]~2n-I (102)

Finally, by Lemma 6, (86) and the relation 2 "½~T O ~2 ½ valid when T_>l, n~>2,
we have (recall that UO = N 0)

nr3(A) lU O*H1(A) I -< n;Ix[31NTo*Hil(dx )

ck3/2 -½ (103)

Relation (24), (101) - (103) and Lemma 4 imply now that for any T~I

r3(A) I(Pn - N)(A)] ~ c[(c(k) +k)T+k5/2]v2n-I

+
,3/2 v n -½.+ ck5/2T-i
CK (104)

The right side in (104) attains its minimum when

5/4_4
T (lo5)
(E(k) +k)½~
and with this value of T it is equal to

c(k)~n -'~[c(E(k)-l(kS/4(c(k) +k)½+k..5/2 ~n -½ +k3/2)] . (106)

If T defined by (105) is >l, i.e.

-½
~n -< k5/4(c(k) +k) -½

then (106) is majorized by

i ^ i
~(k)vn-~[cc(k) -l(k5/4(c(k) +k5/2)~.(k)-~+k 3/2)] . (lO7)
 39

On the other hand by Lemma 10, r3(A) I(Pn-N)(A) I is always not greater than

c(k 2 + k~vn-~) . (to8)

Thus if T defined by (105) is ~ 1, i.e.

I I
1 ~ k'5/4(c(k) + k)=vn =

then (108) is majorized by

_I I
c(k)vn ~[~(k)-l(k3/4(E(k) +k) ½+k~)] . (109)

Assuming that c(k) has been chosen such that the expressions in square brackets

in (|07) and (109) are ~ | (this is the case when c(k) ~ 6 k 5/2, where c is an

appropriate constant), we obtain (92) whatever be (~ ] or ~ I) T defined by

(IO5).

Remark 3- The moment conditions in Theorems I and 2 can be weakened considerably.

To indicate a result in this direction, preserving the notations of Theorems l and

2, define

V|n =
jx I -<n½1xl31~-Nl(dx) +nZlxj>n
- ~ f '~lxI2tp-NI(dx)

and for a Borel set BcR k let

= f, [x]3l~- NI (dx) + (n½r(B)) 3 J' ]P- N] (dx).

~2n lxl_~n=r(B) Ix >n=r(B)

Define also the class r of non-negative functions on [O,~o) by g~F iff

g(O) =O,g(l) = 1, g(x) and x/g(x) are non-decreasing, and for a g~F put

X = . , - r l x l 2,g ( I x l ),I P -,N- ,l ( d x ) , .

g

Then for n ->5 - min(3,k)

I. There exist c'(k) such that for any convex Borel set A

IPn(A) -N(A) I .<- c'(k)(Vln+V2n)n-½(l +r3(A)) -I

2. There exist two constants c5, c5(k) such that if Vln< c 5 then for any

g~]7
 40

-½
[(1 + Ixl2gn([X[))l Pn - Nl(dx) -< c5(k)[Vlnn +~ ( g ( n ' ½ ) ) ' | ]
9
where gn(~) = g ( ~ n = ) I g ( n = ) .
3. There e x i s t two constants c6, c6(k) such that i f Vln < c 6 then f o r any
BoreI set
IPn(B) - N(B) I -< c6(k)(Vln +V2n)n -~a(1 + r 3 (B)) -1

Here we may take c ' ( k ) ~ c ' k 5/2, c5(k ) ~c'5k3/2 , c6(k ) ~c~k 3/2.

§ 3. The method of characteristic functions. Integral type estimates.

The method of characteristic functions in application to the estimation of the

speed of convergence in the central limit theorem has already been illustrated in § l.

Now we shall apply this method to obtain an estimate in R k of the type described in

§ 1 as direction 4 of generalizations of the Berry-Esseen theorem.

Theorem I. Let X1,X2, ... be a sequence of independent random variables with values

in R k with the same distribution P. Suppose that the covariance matrix of P is

I(this assumption is made only for simplicity of formulas). Denote P the distribut-
n o
ion of the normalized sum n -½ ! (Xj-p), where p = EXI, and let N be the standard

normal distribution on R k. Then there exist c(k) such that for any real bounded

Borel measurable function f

i~f(x)(Pn-N)(dx)I 2 c(k)[wf(Rk)~3 n½ + w~(cn,N)], (i)

where~f(Rk), w~(Cn,N ) are defined by (20), (21~,63=EIXI-pl 3 and cn = c'(k)63n -½

Remark I. If fix) = XA(X), where A is a Borel set then

= I 1 if x ~ (~A) c
[ 0 if x ~ (aA) c
and
~f(¢,N:) = N((SA) c)

w~(c,N) = sup(N((8(A+y))C),y6 R k}

If moreover A is convex, then by Lemma 2, § 2

m~(c,N) ~ c ( k ) c , ~ > 0 ,

and the r i g h t side in ( l ) reduces to c(k)Bjn -½, Thus (1) i m p l i e s the m u l t i d i m e n s i o n a l

version of the Berry-Esseen theorem (see p.lO ).
* of Section 2
 41

The proof of Theorem 1 will be based on several lemmas which we shall prove

first. Without loss of generality in what follows we assume p = O.

Lemma 1. Let r > 0 and ~ e (0,i). There exist a probability measure K on R k such

that

l) K(SI(O)) >

2) ~ ixi r K(dx) <

}) K(t) = Sei ( t ' x ) K(dx) = 0 if Itl > B = B(~,r,k) •

Proof. If s is a positive even number, then the p r o b a b i l i t y distribution D(s ) on R'

with d e n s i t y

d(s)(X ) = c(s) ( sinx x )s

where
sin x )s
c(s) = (S( T dx)-i '

has the characteristic function D(s) which vanishes outside the interval (-s~s). To

show this one may observe that (x-I sin x) s is the Fourier transform of the s-fold

convolution of the uniform distribution on [-s,s] with itself and then consider the

inverse Fourier transform.

Denote by q the smallest even integer greater than r and let Z1,...~Z k be i.i.d.

real random variables each with distribution D(q+2 ). Put Z = (ZI,...,Zk).

Obviously one can find a positive ~ such that P(IZI < y) > ~. Take K to be the

distribution of ~-Iz. Then we have

K(SI(O)) = P(iy-izl < i)

>~

and
[ l x l qK (dx) = Eiy-lZl q
k,
y - q k q/2-1 E # t Z j l q

= y-q kq/2 ElZli q

= T -q k q/2 c ( q ) ~ x - Z ( s i n x) q+2 dx

< co
 42

Finally
~(t) : Eei(t,y -IZ)

= ~k Ee i ( T - l t j , Zj)
j=l
and
Eei(T-itj,Zj)
^ (-ltj
: D(q+z ) )

= 0 if ttjl > v(q+2)

^

which implies K(t) = 0 if t i s outside the cube { t Rk: t t j l _< y ( q + Z ) , j = l , k } and,

consequently, if I t [ > k ½ y(q+2). D

Lemma 2. Let f be a r e a l valued Function i n LI(R k) s a t i s f y i n g

f I×1 k if(x)[dx <

Then

Ifll ± c(k) max 5 IDa'(t)[ dt (z)

iiali=O,k
where is the Fourier transform of f,

}(t) : ~ ei ( t ' x ) f(x)dx .

Proof. Let E = {x:f(x) Z O} and for a vector b : ( b l , . . . , b k) w i t h bj : 0 or 1 put

Qb : {x : (Xl,...,x k) E R k, xj ~ 0 if bj : O~

xj < 0 if bj : i } .
k
We have, denoting Ii×II = ~ ixjl for x ~ Rk

Ifll : f lr(x)l dx
k b dx
: ~ ( S -EC ~ )(i + (~(-1) Jxj)k+l)f(x)
b EGQ b n Qb 1 1+t1×il "+1"
O)
Further, .e may suppose Os~(t) ~ L' for a such that II~II = o or k+l since other-

w i s e the lemma i s obvious. In t h i s case by the Fourier i n v e r s i o n formula

x aI I ... x ak k f(x) = (2~) -k S e - i ( t , X ) D a ~(t)dt

and we may write

k b
1i + ( ~ (-1) j x ) k + l f ( x ) I < c'(k) max ~tDa~(t)ldt. (4)
1 J -- t lal I=O,k + l
 43

Now (3) and (4) imply (2) since

dx < f dx
i + Ilxti k+i - i + IxlI<+l
< co .

Let now XI, X2,...,X n be as in Theorem i and let

X. if IXji < n½
J
Y, = j =l,n
J
0 if Ixjl > n½

The random variables Y, are often called the truncated random variables. Denote also
J
Z. = Y. - EY. and let W be the covariance matrix of Z 1.
J J J

Lemma 3. Denote the density of normal (O,W) distribution on R k and let ~n-n-½EYI.
if
< (Sk) -i n½ (5)
63 = ixi I~ _

then W is nonsingular and

i¢(x)-?(x)t E c(k)63n 2(l+IxlZ)e-

-~ ixl2/3 (6)

l¢(x+a n) - * ( x ) t 2 c(k)63n-Z(l+lxl )e-txtz/2+lxl/Sk~ (7)

P,roo ~. Denoting wij (resp. ~ij) the elements of W(resp. of I) we have

lwij-6ijl = IEZli Zlj - EXli Xljl

= IEYIiYIj - EYIiEYIj - EXliXljl

2 iE(YIiYIj- XiiXij)l + kEYli EYIjl

From the definition of truncated variables Y. it follows that
1

IE(YIiYij-XIiXIj)i = i ~Xli XIj dPl

< I IX112 dP
IX1 >n 2
-½
2 n 63

and
 44

IEYiii = iE(Yii-Xii)i

= I I Xli dPl
Ixii>~½

< I ~ ]zdP)½ (8)

- ixii>n~IXl
so that

iEYiiEYiji 2 iXi{>n½iXi 12dP

-½
2 n 83
Thus

lwij - 6ijl .5< Z~3 n-½. (9)

Now f a r any y = ( y l , . . . , y k ) E Rk
k
t((W-I)y,Y ) = t }i (wij-~ij)YiYjt
i,j=l
k )2
< 2B3n-½( ~ iYjl

_< 2kB3H-½1y Iz ,

so that when (5) is satisfied

l((W-I)y,y)l ~ (1/4)lyl 2 (io)
and
(3/4) IYi 2 ! (Wy,y) = i y l 2 + ((W-l)y,y) 2 (5/4) IYl2"

Thus when (5) is satisfied

liw-I I = sup I ((W-I)y,y) I

tyi=Z
2 2kB3 n 2

< i/4 (il)

3/4 < inf (Wy,y) < JtWIt = sup (Wy,y) ! 5/4

-- yl=l -- IYi=Z

Consequently W is nondegenerate and

4/5 < ilW-ill = ( i~f (Wy,y)) -I ~ 4/3 (12)

- lyi=i
 45

liw-1-111 = i(w-1)w-ill
Iw-zll llw-ljl

(8/3)k63 n-½

< 113.
Using elementary inequality

iI-~e~i ~ (11-~I +IBI)elBI , u,B ~ R1 ,

we may write

l~(x)-~(x)l ~ (2~)-k/2e-lXl2/211-1WI-½exp{(l/2)(Ixl2-(W-]x,x))}l
< (2=)-k/2e-I×12/2(ll-IwI-~l + lwI)el"l (13)
where

w = (i/2)(ixjL(w-ix,x)

((l-w-l)x,x)/2
For w by (12) we have

i.t IiI-W-11i Ix12/2

(~/3)k63 n-½1xl2
Ix[2/6 • (la)

On the other hand, obviously

il-IWi 21 ~ iWi 2jl-iWI

Now by (12)

lWl Z ( inr (Wy,y)) k Z (3/4)k •

jyI=1
Also

Is-Iwl i = lm-lz-w+111
_< c ( k ) r63n 2

by (9) and (5). Thus

t 1-jwt-½i < e(k)B3 n 2. (15)

From (13) - (15) we deduce now

l~(×)-¥(x)i e(k)e-lxl2/2(63n-½+m3n 21x12)elx12/6

< c(k)B3n 2(z+lx12)e-iX12/3
 46

i.e. (6) is satisfied.

To prove (7) we note that as in (8)

iEYlil < [~ iXlJ dP

- i×ll>n ~

--< n-iB3

so that taking into consideration (5) we have

lani : n~IEYII

2 k½ B3 n 2

< 8 -I k-½ , (16)

On the other hand

i{ (x+O~n)-# (X) i = +(x)texp{(1/Z)(Ixl2-tX+mnt2}-ll

<_~(x)(i/Z)llxl2-1X+~n~Xp{(i/Z)llxl2-jX+~nl21}(i7)
and by (16)
k
i=l

21~nl lxl + L~n i2

2ixtk~B3n -~ + k½ B3n ~ 8-1k-½

-1 -½
= (2k ~ Ixj + 8 )6sn

< 4 -1 k -~=Ixt+(6~k) - I (is)

Inequalities (17) - (18) imply (7).

Lemma #. We preserve the notations of Lemma 3 and denote g the characteristic functior

of Z 1. If

tt~ < n½/Z6 B3

then

tDagn(tn-½) i ! c(k)(l+itlllall)exp{- {{(Wt,t) + J~}

for all nonnegative integral vectors a satisfying llall 2 k+l < n.

Proof. First consider the case a = O, Note that if U is a real random variable with

mean O,EIUI ~ < ~ and U is distributed as U and is independent of U, then

Eiu-Oi ~ ! ~ E i U I 3 (19)
 47

(this is proved easily by taking expectations In the obvious inequa]ity }U-U} 3

(u-O) 2 (Iul + i0i)).

Let now Z1 be independent off Z 1 and with the same distribuLion &s Zl~and put

U = (t,Z1-Z1). We have by (19) of ~l, (19) and the elementary inequality I+~ ~ e~,~
_~ _b -
ig(t n 2) j2 = E exp{i(tn 2,ZI-Z1)}

= l-n-iE(t,Zl) 2 + e6-I n-3/zEd(t,Zl-2i)l 3

l-n-iE(t,Zl )2 + (2/3)n -3/2 El(t,Zi) l~

where
A = - n -i E(t,ZI )2 + (2/3)n -3/2 El(t,Zl) l~.

Thus for s = l,...,n

ig(t n-~2) iZs ! exp {sA}

< exp {nA}exp{(s-n)A}

= I1 12 •

Since
exp {-A} exp{n-l(Et(t,Z1)13)2/3-(2/3)n-3/ZEl(t,Z1 )is}

< sup exp{~2-(2/3)~ 3}

~>0

= e1/3

we have
12 5 exp{(n-s)/3} •

To estimate I 1 we note that for any q ~ I

EIZ1 lq = EIY1-EYII q

2q-1 E(iyljq+ IEY1 iq)

2qELY1 (q
(2o)
2qEIX1 lq ,

hence
 48

(2/3)n- 2E l(t,zi)13 2 (2/3)itI3 n-½ EiZ113

(16/3) It13 n -½ B3
It12/3 if Itl < n2/16B3 ,

and we o b t a i n

Ii 2 exp{-(Wt,t) + It12/3}.

Thus we have for s = i,...,n

ig(tn-½) i 2s £ e x p { - ( W t , t ) + It12/3 } exp { ( n - s ) / 3 } , (21)

which implies the lemma for a = O.

Note now that by (20) we may write for any integer m,i < m < k

= n 21EZlmeXp{i(tn ~,zi)} j

n-½1EZlm[exp{i(t n- 2, ZI) } - i ] I

_< n -½ EiZlml I(tr,-2,Zl) i

-1
_< n itlEiZi12
_< 4n -i itl EIX112
= 4k~ -i Itl • (22)

Furthermore, since for any integer q>Z

EIYII q < n (q-2)/2 E IY112

< kn (q-2)/2

we have, by (20), For a nonnegative i n t e g r a l vector b with I l b t [ Z 2

IDbg(tn 2) t = IDb E exp { i ( t n - 2 , Z 1 ) }

< o-ilbll/2 E iZ~l

< n-libll/2 E l Z t Illb

< n-llbil/2 211bilEIy1 Ibl[

< kn -1 211bll
Thus we always have For any nonnegative integral vector b with llbll z i

IDb:g(tn ~)i £ c(k)n-I T'ET (z3)

 49

where c(k) =k2 k+l T~ = max (1,It[)

1
Let us note now that Dalg(tn-~) I is bounded from above by a sum of terms (and

the number of the terms is bounded by a c(k))

c(k) YO
!n!. igYO(tn-½)Dblg(tn-½))Y] "'" (Dbrg(tn-½))Yrl

where r, YO' Y l ' " " Yr are p o s i t i v e integers, bI ...,br, b I # . . . #b are non-
r ~

negative integral vectors in Rk with .Ilbjll ~ I and

r r
y j = n, ~ y . b . = a . (24)
0 l J j

By (21) and (23) such a term is not greater than

Z ~j
c(k)(n!/YO!)exp{-(I/2)(Wt,t) + (I/6) Itl2}exp((n-Yo)/6}(n-l]-~-)l

Since (24) imply r

- ~ ~j r
1
(n!/Yo!)n ~ I,~ yj = O - ~ o -< J[aH <k+1
l

the assertion of the ]emma follows. D

Let us introduce now some new notations. Let X be a random variable in Rk

with EIXI m < ~. Denoting f the characteristic function of X we have

f(t) = 1 + o(ltl m)
I~II#II~mp a +

(it) a m)
log f(t) = _<mXa --~---.~+ O([t I (25)

as t ÷ O , Ha and Xa being the moments and the cumulants respectively of order

a = (a! . . . . ,a k) of X. Using the relation

log f ( t ) = ~ (-l) j+l ( f ( t ) - I) j (26)

j=l J!

valid for small t, we can express the cumulants in terms of moments. In order to

do this it is convenient to use the formal relation

co (~i) a J
ll!II>l Xa (i~l)--~a= j~1"=(-l)J+l J~ I[!II_>ll~a - - ] (27)

(cf. (25) and (26)) which may be written when the moments and cumulants of all orders

exist. Equating coefficients at the same powers of t we have

 50

= I~11 Jl Jr
(28)
Xa c(al,..-,ar;Jl,'..,Jr)Pal ... Par
r=l

where the second summation is over a l l r-tuples of nonnegative integral vectors

(al,...,a r) and r-tuples of noneoative integers (jl, ..,jr ) satisfying

r
Z Js as = a.
sml

Note that (28) implies easily that if EX = 0 then

Xa = ~a for aii a with l latt = 1,2. (29)

Define polynomials ~r(Z), r = 1,2 .... , z = (zl,...,z]<) in k variables zl,...,z k ~C

by
Xa za
Xr(Z) = r' -- (30)
II II =ra!
In terms of those polynomials we can write

m Xr(it)
log f(t) = i + ~ r! + °(itim) @

r=l
Define now polynomials Pr(Z), r=l,2,...,z ( C k by the formal relation

1 + ~ Pr(Z)U r = exp { ~ Xs+2(Z)(s+2)' uS}

r=l s=l "

~ ~."1' ~V ×s+2(Z)(s+2)~ uS)V

= 1 + v=l
~ (sL=i .
Equating coefficients at the same powers of u we have

P (z) - 1
o
r i__ ~, Xjl+2(z) X"
P (z) = ... Jv +L
r v=l v: Jl ..... Jv (Jl+2)~ (Jv+2)~

r 1 ~, ~,, Xdl " " X d v dl+...+ d v)

(31)
v~- [ ( dI ' d ' z ]
v=l jl,...,j v .... V"
where the summation Z' is over all v-tuples of positive integers (Jl""'Jv) satisfying
v
ji =r, ji=1,...,r, 1 ~ i ~v (32)
i=i
and the summatTon ~" is over all v-tup]es of nonnegative integral k-dimensional

vectors (di,...,d v) satisfying

 51

dilq = Ji + 2, 1 < i < v. (33)

From e q u a t i o n (31 it f o l l o w s immediately t h a t the orders o f terms o f the p o l y n o m i a l s

Pr(Z) vary between r+2 and 3r and the coefficients of Pr(Z) only involve X~S with

lldlJ I r+2.

The polynomials P (z) arise naturally in the following way. Let f be the chara-
r
cteristic function of a random variable X with values in Rk~ with EX = 0 H eovariance

matrix V and EIXI m < ~, m & 3. Then for the characteristic function fn(tn-½) of the

normalized sum n-½ n Xj, where Xj are i.i.d~with the same distribution as X, we

have (see (25), (29), (30))

n -½~
log f (tn j = n l o g f ( t n -½)

m-2
= -~(vt,t)
i
+ X ~Xs+2
i n-S/2
+ °(ltn-½1m)
s=l

as tn -½ + O. It f o l l o w s t h a t f o r any f i x e d t e Rk

m-2
Xs+2 ( i t ) n-S/2 o(n-(m-2)/2)}
fn(tn-½) = exp{-{(Vt,t)}exp{ +

s=l

= exp{- 1 (Vt,t)}(1 + m-2

~ n_r/2 P r ( i t ) ) (l+o(n_(m_2)/2) )
r=l
as n e ~.

Now we can f o r m u l a t e our next lemma.

Lemma 5. Let X be a random variable with values in R k such that EX = O,ElXl m <

for some integer m ~ 3, and let Pr be the polynomials defined by (31) with cumulants

of X. For any nonnegative integer r ~ m-2 and any nonnegative integral vector

a = (a I . . . . ,a k) w i t h j l a j j ! 3r we have

IDaPr(it)l ~ c(r)(1 + B~(m-3)/(m-2))(l+ jtl3r-llaII)6~/(m-2),

where Bs = EIXI s. If i{aJl > 3r then D a Pr(it) ~ O.

Proof. Replacing in (31)z by it and differentiating we obtain

r r+2v Xd1""Xd v
DP(it)
a r
: Z i
v! [
Z' ( ..d !
v:l jl,...,j v dl~" v

(dl+...+dv)~ dl+...+dv-a
(34)
x (dl+" "+dv-a)! t l )]
 52

(terms for which a component of the vector dl+...+d v - a is negative are zero).

To estimate the right side of (34) let us look at the formula (28) relating

cumulants and moments. For any nonnegative integral vector d u : (dul,...,duk) we have
_,dul xdukl
IPd! = ILX 1 "" -k
U
lldull
EIXI

= BLIduII
(here XI,...,X k are the components of X). Thus, using notations of (28), by well

known moment inequalities we may write

Jl Jr Jl Jr
i~dl "'" Pdrl 2 BJldlll "'" 811drll

JlLIdlLi/lldli JrItdrii/ildlL
± BtJdll ....... ~tldtt
= 6tldL1'
and it follows that

IXdl 2 c(d)Blldl i (35)

Let us prove now the following statement:the fiunction

r ~ (~r/6~/2) I/(r-2) is nondecreasing on (2,m]. (36)

It is enough to prove (36) when 62 = I since the general case is reduced to this one
- i/2
by replacing X by X/B 2 . The function r ÷ B~/(r-2) is nondecreasing if r÷log B~/(r-2)

is nondecreasing. Finally r ÷ log B~/(r-2) is nondecreasing since

log ~i/(r-2)
5r = (r-2) -I (log 6r-log B 2)

and the function r ÷ log 6r is convex on [2,m] (the convexity of the latter function

is well known and follows immediately from Holder inequality).

From (35) - (36) it follows that (in the notations of (31),(34))

IXdl'''Xdvl 2 c(d I) "'" C(dv)BJl+2 "'" BJv+2

_ C(dl) c(d )~(r/2)+v BJl+2 BJv+2

< "'" V 52 ~ "'" (Jr+2)/I~
52 B2
 53

. . . . (r/2)+v / 2 ) ( J l + ' " + J v )/(m-2)

c(d l) ... C~Ov)~ 2 (Bm/B ~

_rJ ~v-r/(m~2)~r/(m-2)
= C(dl) "''UkUv)~2 ~m ; (37)
obviously
g~-r/(m-2) ~ i + g~ (m-3)/(m-2) (38)

On the other hand (since dl+ ... + dv-a ~ O)

dl+-,.+dv-a IIdll!+...+ildvll-llall
It I ~ Itl
= Itlr+2v-llall
I

1 + itl 3 r - i l a l j (39)
The 1emma follows now from (34), (37) - (39). 0

In what follows we shall need two auxiliary facts which we state as lemmas 6 and 7.

Lemma 6. Let f be a complex valued function defined on an open subset E of R k. Suppose

f has continuous derivatives D b on E for a13 b with Ilbll ~ m, wheremisa positive

integer.

I. If f has no zeros in E then D b log F, ilbli ~ m, exist and is given by

Dd I f ... D dj f
D b log f : ~* c(d I .... ,dj) fj

where the summation Z* is over all collections of nonzero nonnegative integral vectors

(dl,...,dj) such that

i d i = b, 1 < j < llbll.

1
2. D b exp {f} exists for all b with llbll ! m and is given by

Db exp {f} = exp {f} ~ e({Jd:O < d ~ b}) E'(Ddf) Jd

where the summation ~ is over all collections of nonnegative integers {Jd:O<d%b}

such that ~ djd = b. The product ~' is taken ever all d : 0 < d ~ b.
O<d<b
This 1emma is easily proved by induction on b (if it is true for b then it is

also true for b+ej, i < j < k, where ej is the jth coordinate vector).

Denote by C k the k-fold product of the complex plane C with itself and let l'i
k
be the usual norm in C k, i,e. Izl = ( ~ Izji2)½ for z = (Zl,...,z k) 4 c k,

Lemma 7. Let £ be an absolutely convergent power series on Br = {z:Z ( ck, lzl < r},
 54

such that

If(z)! ~ h(Izl), z ~ Br ,

where h is a nondecreasing function on [0,~). Then

IDbf(z)l ~ b!(clzl) -Ilbll h((l+k ½ e) lz I )

for any nonnegative integral vector b, c > 0 and z E Brl, r I = r( l+k½ e) -1-

Proof. Choose a number c > 0 and an e l e m e n t z° ~ Brl. Let R = r k ½ c ( l + k ½ c) - I . If

z ( BR(Z o) ( t h e b a l ] of radius R with centre a t Zo ) t h e n

Izl ~ IZ-Zol + I%1

< R+r I

= r .

[hus BR(Z o) c Br, f(z) is defined on BR(Z o) and we have for z ~ BR(Z o)

f(z) = ~ Cd(Z-zo)d~ (40)

where the summation is over all nonnegative integral vectors d. Consider a set

E s = {z:zE Ck, Iz.-z3o3'[ = s,j=l,k}, 0 < s < k -½ R.

If z ~ E then
S

IZ-ZoL : k ½ s < R,

hence E s ~ BR(Zo). The see E s can be represented in the form

Es = {z:zd ck,zj = Zoj + se iej, Oj ~ [-~,~),J = 1,k}.

Using this representation for Es, multiplying (40) by (2#)-k exp{ -i(d',8)} and

integrating over Es with respec£ to dol...d8 k we obtain

(2~) -k f
i91
e-i(d~s) f(zOl+Se,..,,Zok+SeiOk)del...dgk = Cd,slld'll
[_~,~)k (4i)
(here d' is a nonnegative integral vector). On the other hand taking b-th derivatives

of the both sides of (40) at z0 we have

Db f(Zo) = b!Cb " (42)

Together (41) and (42) imply

 55

{Dbf(Zo)I = Ibis- bIJ(2~)-k [ k e-i(b,£)f(Zol+Se is1 "" .,Zsk+sei@k)dOl..d@k I

[-~,~)

b! s- biJ sup { ] f ( z ) l} . (43)

z~E
S

Take now s = c l z s l and o b s e r v e t h a t

Eclzo [ c {z:iZ-Zo[ = k½ Oi~ol}

l.

c {z=lzl ~ [Z-Zol + IZol ~ (l+. ~ c)lzo[}

c S
r

Thus
sup {If(z)l} ± sup h([zl)
Z~Eclzo I z~ Eclzo I

h((l+k ½ c)Izol)
and the lemma follows.

Lemma 8. Let X be a random variable with values in R k such that EX : O,EiXI m <

for some m > 3, and suppose that the eovariance matrix V of X is nonsingular.
m
Denote

f the characteristic function of X, Ps = EIV-½xIS's > O, and let Pr be the polynomia-

ls defined by (30) with cumulants corresponding to X.

There exist constants c(k,m), c(k,m) such that if

- ~ -W(m-2)
Itl < c(k'm)n2 Pm

then
n -½ -½ m-3 n _ r / 2 ~ _
IDa f (V t n ) - [ P r ( i V - 2 t ) e Itl2/Zl
r=O

o(k,m)P m n - ( m - 2 ) / Z ( I t l m-Ilall + ItL3(m-zb+lja]l)e-Ltl 2/4

f o r any nonnegative i n t e g r a l vector a with Ilall ~ m.
-1/(m-Z)
Proof. First assume t h a t V=I. If Itl < n½ 0m , then since E X = O , l e l ~ - i ~ - l l
~2/2, and p~i/m ~ p~½ = k -1, we have
b
I f ( t n -½) - 1 1 = IE(exp{i(tn-2,X)}-i(tn-2,X~-ll

< E(t,X)2/2n

= iti2/Zn
-21(m-2)
2 - i Pm
 56

< 2 -1 k-2/(m-2)

< 2 -I ,

Thus assuming that ~ < I in (44) we are in the domain where log f(tn -½) is well defined.

Denote now
m-3 -r/~
g(t) = - Lti2/2 + ~ n r+2(it)l(r+2):,
r=l

where Xr+2(it) are defined by (30) with Xa corresponding to X, and put

_b
h(t) = n log f(tn ~) - g(t).

First we shall estimate

Da(fn(tn-½) - exp {g(t)})

= Da(exp{h(t)}-l).exp(g(t) }

c(a,b)Da_b(exp{h(t)}-l)D b exp{g(t)}. (45)

O<b<a
Since V = l,g(t) may be written in the form

m-3
g(t) -- ~ n-r/2 Xr+2
(it)/(r+2)!
r=O

m-3
---r=O
~ n-r/2 ir 1]~] --Ir+2(Xd/d!)td

and we have for b->O, [Ibll~m (since IXd] _<c(d)Pl[dl I by (35))

m-3
IDbg(t) -~ I I n -r/z ~[ c' (d)Pr+21 tt r+2-11bl/
r=max(O, I1bl]-2) l] dll =r+2
d~b
(by (36) and (44)
m-3
][ (~(k,m)) rc(r) I t I 2-H b H
r=max(O, I[ bll-2)

Cl(k,m)]t[ 2-1[b]l (46)

We shall use (46) for b> O. When b =0 we have in a similar way

m-3
g(t) + [t12/21 ~ ~ (c(k,m))rc(r)It[ 2 (47)
r=l

Choosing c(k,m) smal] enough the right side of (47) to be less than It12/8 we

shall have
 57

Ig(t)l ~ 5 It12/8 . (48)

Now if nonnegative integers {Je:O<e~b} are such that

eJe b,

and ~' below denoting the summation and the product over all e:O < e ~ b

respectively, then

z'je(z-llell)
H' (Deg) Je e(k,m) ttl
< c(k,m)(Itl2-11bll ÷ Itlllbll),
since

l~ Je < JeIIell = IlbIl-

Noting now t h a t by our choice of c(k,m) ( c f . (47),(48~

exp{g(t)} ! exp{- (3/8)It12}, (49)

we have by Lemma 6 for a l l b > O, I l b l l %m

IDb e x p { g ( t ) } l _< c(k,m)exp{g(t)}(itt z-tlbll + I t t libtj)

c(k,m)(Itl 2-11bll+ Itlltblt)exp{-(3/8)lti 2} .
(50)
I f ~ i s a complex valued f u n c t i o n w i t h p continuous d e r i v a t i v e s defined on Rk,

then by Taylor's formula

td
I£°(t) 0<_11~i1~_ 1 d-T Dd ~(0)1

It.~ ,I max{IDd~(Ot)l, 0 < 0 < 1} . (51)

-I II=p
Noting that by the definition of cumulants

Ddh(O) = 0 for all d : 0 ~ lldll ! m - i

we have, applying (51) to ~ = D~h, 0 ! 11~II ~ m - i with p = m-ll~ll,

iD~h(t)l < ±t~'1 sup{ID~+~,h(Ot)i,O < e < 1}

-II~'I =m-ll~ll ~'!
(obviously the l a s t formula i s also t r u e when I I ~ I I = m). Furthermore by Lemma 6 for

w i t h I I ~ I I = m we may w r i t e for any t ~ Rk

 58

D£h(t) I =nlD ~ log f(tn-½)l

_< nc(k,m) ~ ID£I f(tn-½) l . . . I D £ j f(tn-½) l

where the summation is over all collections of nonzero nonnegative integral vectors

(£i,...,£j) such that

J
£ = £, 1 ! j i m
i r

(as was noted above I f ( t n ~)i ~ if (44) is satisfied with ~ < i). Since

ID£r f(tn-½) l 2 n £r1//2 EiX~ri

< n elXl
£rll/2 II£rlJ/m
< n p
m
we obtain

IDzh(t)l c(k,m) Pm n-(m-2)/2 (11£tl = m)

and hence

ID£h(t)l c(k,m)P m n~(m-2)/2 [tlm-II£11( 0 ~ II~11 ~ m) (52)

If £ = 0 the condition (44) implies now that

lh(t)i ! c(k,m)P m n-(m-2)/2 Itl m

Iti2/8 (53)
when c(k,m) is small enough. Thus

lexp{h(t)} - 11 ~ ]h(t)l exp{Ih(t)l}

c(k,m)Pm n-(m-2)/2 ltl m exp{Iti2/8}. (54)

For ~ w i t h it'll > 0 we have by Lemma

D£(exp{h(t)}-l) = D£ exp { h ( t ) }

= exp{h(t)} ~ C(Je:0 < e ~ £) ~'(Deh) 3e

where ~ i s the summation over a l ] c o l l e c t i o n s of nonnegative integers {Je:0 < e ~ £}

such that
ej e = £
O<e<£
and X' (and g' below) i s the product (summation) over a l l e=O < e < £o Applying
 59

(52), using (44) and noting thaL

1 _< ~' Je --< tl~li _< m

we have
• Z,(m_llell)je
~'(Deh) Je ~ (c(k,m)P m n-(m-2~2) z'je It I

-(m-Z)/2(jti 1/(m-2) -½, (m-2)(g'Je-1)

c(k,m)Pm n Pm n j
m-2-jimil+2z'j e
• [tl

c(k,m)p m n-(m-2)/2(itlm-ll~lJ + it[m-2+i[~l[).

Together with (53) this imply

D~(exp{h(t)}-~ ~ c(k,m)pmn-(m-2)/2(ltlm-il~ll+It[m-2+llZl~exp{Itl2/8}
(55)

for all ~:0 < 11~II ~ m.

Relations (49), (54) when a = 0 and (50), (55) when a ~ 0 together with (45)

give now

tDa(fn(tn -½) - exp{g(£)}) I

e(k,m)Pmn-(m-2)/2(itLm-i[all+jtim+llaiJ)exp{-Itl*/4}(56)

for all t satisfying (44).

The next sLep is to estimate

m-3n-rl2 P [tJ212 -~ _[ t1212 I

iDa(exp{g(t)) - ~ (it)e- )I = [Dae(n ~,it)e
r=O r (57)
= [ ~ c(a,b)Da_ b e - I t l 2 / 2 Dbe(n-½,it) l,
Ogb~a
where
_b m-3 m-3 n_r/2
e(n 2,it) = exp { ~ n-r/2 Xr+2(it)/(r+2)Z} - ~ Pr(it).
r=l r=O
By Lemma 6 we have for 0 < b < a, llall <_m

Da_b e-ltI2/2 _< c(k,m)(l+ItllIa-blI)exp{-I£12/2} . (58)

-b -½
Consider now e(y,z) obtained from e(n 2,it) by putting y = n z = it. We

shall look at e(y,z) assuming that

z ~ c k, u ~ Rl, lYliZl ~ Oml/(m-2)c(k,m) (59)

where e(k,m) is the same as in (44) and is small enough (of course (59)coincide with
 60

(44) when y = n 2, z = iL). We have

m-3 r Xr+2 (z) m-3

e(y,z) = exp{ ~ y (r+2)! } - yr pr(z )
r=l r=O

and by the definition of polinomials Pr(Z)

~s
yS e(Y,Z) ty=O = O, s = O,m-3

3m-2 3m-2
~ym-2 e(y,z) - ~ym-2 el(Y'Z)~

where el(Y,Z) = exp e2(Y,Z) and

m-3 r Xr+2 (z)

e2(Y,Z) = [ Y
r=l
m-3
= ~ yr ~ X__~z£
r:l II~. l:r+2 ~:
Thus
~m-2
le(y,z) I 2 sup{i ~ i ( O Y , Z ) l , 0 < 0 < 1}
• ~y

~m-2
By Lemma 6 the derivative ~ el(Y,Z) is a linear combination of terms of the form

el(Y,Z)(~y e2(Y,Z)~l• ... ( ~-2

~e2(Y,z))Jm_2
~Y
where jl,...,jm_ 2 are nonnegative integers such that
m-2
SJs = m-2
s=l
Obviously
s
s
e2(Y,Z) = 0 for s = m-2
Sy

and for O < s < m-3 by (35), (36) we have

I ss
s e2(Y,z) l =
m-3
I ~
r!
-(T-i--~z
(I ~] z~ )
~-T X Y
r-s
~y r:max(1,s) t~ t=r+2
m-3 r+2 r-s
< c(k,m) [ z Or+ 2 lYl
-- r=max ( l, s)
m-3 Ir+2 r/(m-2) y l r - s
< c(k,m) ~: tz O~, t
-- r=max(1,s)
m-3 1/(m-2) )r-s
c(k,m) ~ (tY s/m-21zt s+2
r=max(1,s) lzf Pm Pm
 61

Now we shall use assumptions (59) to obtain

lez(y,z)1% zl2/8
as
I---~ e2(Y,Z) ~ c(k,m) O~/(m-2)
~ Izl s+2 (1 < s < m-2).
ay
Thus

t ~.~ eZ(y,z ) Jl ~m-2 ljm_2

"'" i ~ e2(Y,Z)

< c(k,m)Pm(IZl m + lzl 3(m-2))

and so under the assumption (59) we have

le(y,z) l < c(k,m)Pmlyjm-Z(Izl m + Iz 13(m-Z))exp{ Izt 2/8} (60)

To estimate derivatives of e(y,z) with respect to z we shall appIy Lemma 7 with

1 -1/(m-2)
f(z) = e(y,z), r =I~I Pm c(k,m), h equal to the right side of (60) and c=3-1k -½
to obtain

IDbe(Y,Z) I < c(k,m)Pmlylm-2(izl m-I ibl l+iz13(m-2)-I Ibl [)exp{ (2/9)jzl 2}

(61)

for all z:Izl <_ (3/4)Iyi-1 pm I/(m-2) c(k,m).

Combining now (57), (58) and (61) with y ---n ~, z = it we have

m-3
lDa(eXp{g(t)} - ~ n- r / 2 Pr(it)e-ltl2/21
r=O

< c(k,m)Pm n-(m-2)/2(Itlm-lla[l + Itl 3(m-2)+llall)exp{-It{2/4} (62)

for all t satisfying (44).

In Ehe case V=I the iemma follows now from (56) and (62).

If V # I consider the random variable X' = V-½X which has mean zero and covariance

matrix I. Denoting the characteristic function of X' by f' and the polynomials P
r
corresponding to X' by Pr' we have if(t) = f(V -½ t), Pr(it) = Pr(iV-½ t). This
implies the lemma in the general case. E]

Proof of Theorem 1. Replacing if necessary Xj by Xj-p we may suppose ~ = O. We may

also assume that

B3 n-½ < (8k) -1 (63)

since otherwise
 62

I #f(x)(P n-N)(dx) I 2 2(~f(Rk)

2 16 kwf(Rk)B3 n-½ .

Let Yj,Zj, j = l,...,n be the random variables defined before Lemma 3, W be

n
the eovarianee matrix of Z1 and P'n (resp. P")n be the distribution of n -m ~ Z
(resp. n-½ n
Yj). We have
i J
1

l#F(x)(Pn-N)(dx)[ 2 [ #f(x)(Pn-P~)(dx)l +!#fi(x)(P~-N)(dx)t (64)

and
jj'f(x)(Pn-Pn)(dx)l = IE(f(n-½ i Xj)-f(n-½ i Yj) I

<n~If(n-½ i Xj)-f(n-½ i Yj)IdP

U(X .;~Y,)
1 J J
n
< ~of (Rk)p(u(x. ~ Yj))
-- 1 J

2 °Jf(Rk)np( I Xl I > n½)

< ~f(R k) ~3 n-~2, (65)

Denote now mn = n½ EY1 and let N'(resp. N") be normal (O,W)(resp.(-mn,I)) distribu-

tion. Then

l#f(x)(P~-N)(dx) I = l~f n(X)(P#-N")(dx) I

l[fmn(X)(P~-N')(dx)l

+ I~r n(X)(N'-N)(dx) I

+ t~f n(X)i(N-N")(dx) I

= I I + 12 + 13 • (66)

By Lemma 3 we have

12 = i IrOn (x)(~(x)-¢(x)~×l
~fi(Rk)~l~'(x)-¢(x)ldx)
wf(R k) c(k)B 3 n-½ (67)
and
 63

13 < wf(Rk)fl~(x)-~(X+~n )ldx

< ~F(R k) c(k)B 3 n-½ (68)

I t remains only to estimate I 1. By Lemma 1 there e x i s t an absolutely continuous

p r o b a b i l i t y measure K on Rk such that

K(Sl(O)) >_ 3/4 ~ S Ix1 k+l K(dx) <

K(t) : Sei ( t ' x ) K(dx) -- 0 if Itl > Cl(k).

Corollary 3 of § 2 implies now that for a l l T > 0

11 < 2[~f(Rk) i (pA-Nb.KT I + w~(2T-1;a ' ) ] ~ (69)

where KT(E) = K(TE) for any Borel set E and w~ i s defined by (21), § 2. In what

follows we take

T = n2/(16 cl(k)B3) ,
and denote

3 = I(Pn-N').KTI

Denoting p the densi%y of (Pn-N~*KT and applying Lemma 2 we may wri%e

O = Slp(x) Idx
A ^ ^

< c(k) max SIDa(Pn-N')KTIdt

- I i a I I =0, k+l
< c(k) max fib (P'-N~D.K~Idt.
-- I I a+bl I =0,k+l a n O /

Since (63) implies

T-1 = n-½ 16 cl(k)B 3

< 2Cl(k) k - | ,
we have

IDbKT(t)I = IS Db e i ( t ' x ) KT(dX)l

= I f D b e i ( t ' x T - l ) K(dx)l

_< T-IIbll SlxblK(dx)

< (2Cl(k) k - | ) H b [ l f l x lllbl[K(dx)

< c(k).

Thus
 64

^ ^

a < c(k) max { IDa(Pn-N')ldt (7o)

- I lal I<k+l It --~ A ~

where A
n
= n2/16 63, since

KT(t) = K(tT - ] ) = 0 i f ltl > c](k)T = An

Putting now
- ~ -1/k
A'n = (415)½ e(k)n~ Pk+2

where c(k) = c(k,k+2) is from Lemma 8 and

½ k+2
Pk+2 = EIW- Zlh
we may write for any fixed a
k-1 n -r/2 p (it)e -(Wt , t ) / 2 t d t
[Da(P~-N')I dt
Itl<_An - Itl~A~ r=O r

k-i n_r/2 (it)e_(Wt,t)/21d t

+ SlDa ~ Pr
r=l ^

+A~<{t J2An [Da Pn Idt

^

+ f IDaN'ldt
A' n <lti~A n

= Jl + Jz + J3 + J4 ' (71)

where Pr are constructed by cumulants of ~. By (12) we have

Iw 'I = IW-1
llw-lllklz

< (413) k l z , (72)

and for any u ~ R k by (ll)

IWI'ul _> ilwl lul

>_ (~/5)½ lul,

so that
{u:lw-~o[ < A[} c {o:[ul < (5/4)% A;,}

= {u'lul < e(k)n ½ Pk+2

-1/k~ ~

Thus putting t = W-½ u in J 1 we have by Lemma 8

^
01 = ~ [Da(Pn(W _~2u) _ k~l n_r/2 Pr(iW-½u)e-[Ul Vz)j iw-½ jdu
lw- 'u l<_An r=0
 65

k-i _~
< ^,
( 4 / 3 ) k/2 []Da(Pn(W- ½ u) - ~ n-r/2 Pr(iW ~ u)e-luJ 2/2) ldu
iu [<_~(k)n½pkl+~k r=O

< c(k)Pk+ 2 n-k/2

Furthermore, by (72) and the relation (cf. (20))

EIZI lq _< 2q EIYII q

_< 2q 63 n (q-3)/2 , (73)

which is valid for any q ~ 3, we have

Pk+2 = EIW-½Zl Ik+2

, -~ k+2
! llw ~11k+2 EIZzt
2 e(k)B 3 n(k-l)/2.

Thus

J1 2 c(k)B 3 n-½ •
To estimate J2 consider

Lr(t) = Da P r ( i t ) e x p { - ( W t , t ) / 2 )

= ~ c(a,b)D b P r ( i t ) D a _ b exp{-(Wt,t)/2} . (75)

O<b<a
By Lemma 5 w i t h m = r+2
iDb P r ( i t ) l i c(k)(l+(ElZll2)r-l)(l+It{3r-llbll)EIZl It+2 '

if ilbi! ! 3r
= o, iF Llbll > 3r. (7~)
Note also t h a t

EIZ112 ! 4EIY112
< 4ElXl t2
4k .

On the other hand, by (i0)

e x p { - ( i / 2 ) ( W t , t ) } = e x p { - i t l 2 / 2 } exp { ( i / 2 ) ( ( l - W ) t , t ) }

! exp { - 3 1 t 1 2 / 8 } . (77)

Furthermore
k
D%(-(I/2)(Wt,t)) = - ~ w.. t For some i if !iZil = i
j:l i J J
 66

= - wij For some i,j if Ll~bi = 2

= 0 if LI~LI > 2

and by (9), (5)

lwij 6ijl ! 1/4k.

-

Thus applying Lemma 6 we have for any nonnegative integral vector e

De exp{-(Wt,t)/2} ! c(k)(l+ltlllelL)exp{-31tl 2/8} - (78)

Relations (75)-(78) imply (in our case ILaIL ! k+l)

Lr(t) i c(k)(l+It[ 3r+k+l) exp{-31tl2/8)EIZ1 Ir+2

which together with (75) for q = r+2 lead to the inequality

J2 i c(k)63 n-½

Now using Lemma 4 and observing (77), (74) we have

J3 ! c(k) I (l+1tlllaLI)exp{-5iti2/24}ltJk(AA)-k dt
AA<Iti<_A n

-k/2
! c(k)Pk+2 n

! c(k)5 3 n-½

For J4 we have by (78), (74)

34 ! ~ IDa exp{-(Wt,t)/2}ltlk(AA) -k dt
AA<Iti~A n

< c(k)Pk+2 n-k/2

c(k)63n -½ .

The obtained estimates for Jl - J4 give

J ! c(k)83 n-½ . (79)

Finally by Lemma 3
~(2T-I;N ') = sup 5~r (x,2f -1) E(x)dx
Y Y
! sup 5wf (x,2f -1) ¢(x)dx
Y Y
+ sup [~f ( x ' 2 T - 1 ) i ¢ ( x ) - $ ( x ) i d x
Y Y
 67

~(2T-I,N) + c(R)~f(Rk)B3 n-½ (so)

The theorem follows now from (64)-(69), (79) and (80).

Theorem I and Theorem 1 of ~ 2 lead to the following result.

^
Theorem 2. Suppose the conditions of Theorem 1 are satisfied. Let v and v be defined

as in Theorem i, ~ 2. Then there exist a constant e(k) such that for any real bounded

Borel measurable function f on Rk

k ^ -½
I#f(x)(Pn-N)(dx)l e(k)[mf(R )vn + ~(c~,N)]

where ~n' = c(k)vn 2

Proof. If v < c I of Theorem I, # 2 then

lJ'f(x) (Pn- m)(dx) I ~ ~f(Rk) IPn- N1 (Rk)

k ^ i
-< c2~0f(R )vn ~

On the other hand when v->c 1

~3
~ +frxl3N(d×)

(1 + c c i l k 3 / 2 ) v

and since the r i g h t side of (1) is nondecreasing in B3 we may replace i t by

Since v ~%, the theorem is proved. 0

Remark 2. More general estimates of t h i s type can be obtained by combining g e n e r a l i -

zations of Theorem 1, § ] and of Theorem T (see ~ 2 Remark 3, [ 8 ] , [ 4 0 ] , E373, [383).

Comments on Chapter I

The first estimate of the speed of convergence in the (one-dimensional) central

limit theorem was obtained by A,M. Liapounov [21]. In his estimate in the i.i.d, case
the bound was cB3n 2 log n, i.e. differed from the Berry-Esseen bound only by the
factor log n.
The Berry-Esseen theorem was proved at about the same time by A.C.Berry [6] and
C.G. Esseen [14].
The method of characteristic functions in the theory of probability was introdu-
ced by A.M. Liapounov [20,21] and then developed by P.Levy [19] and others,
The method of compositions in the study of the accuracy of normal approximation
was first used by H.Bergstr~m [3-5] and elements of it may be traced back to T.W.
Lindeberg [22]. In [4] H. Bergstr~m obtained the first multidimensional extension of
the Berry-E~seen theorem (for distribution functions).
 68

The indicated extensions and improvements I-6 of the Berry-Esseen theorem belong
respectively to M. Katz [17] (more precisely, an equivalent form of it belongs to
M. Katz), S.V. Nagaev [23], V.V. Ulyanov [42] (a weaker version was obtained by
V. Paulauskas F25]), R.N. Bhattacharya [7] (weaker forms were obtained by him earlier~
see [8] for bibliography), C.G. Esseen [14], V.V. Sazonov [32].

Theorems l and 2 of ~ 2 were obtained by V.V. Sazonov and V.V. Ulyanov [37]~
[38]. The estimates of the constants in Theorem l ~ l presented here improve our
previous estimates [38]. The present estimate for c(k) was first obtained by
S. Nagaev lhe used the method of characteristic functions) and then (together with
other estimates) by V. Senator [39]. After H, Bergstrom the method of compositions
was developed by V.V. Sazonov [32, 34-36]~ V. Paulauskas [25-27]~ V.V. Ulyanov
[41-42] and others. A method similar to the m~thod of compositions was used in a
very interesting paper by T.j. Sweeting [40]. However, due to the time limitations
we could not include his work in our lectures. One of his main results states that
in Theorem l of ~ 3 one can replace w~ by ~f. This result also permits to replace
by ~f in Theorem 2 of ~ 3-

Theorem l of § 3 belongs to R.N. Bhattacharya [7]. Our presentation follows

R.N. Bhattacharya and R. Ranga Rao book [8] but is simpler due to the fact that we
consider a less general case. We also hope that we made some points of the proof
more clear. In the general case considered in [81] X. may not be identically
J
distributed and the function f may be unbounded (with some restrictions on its
growth at infinity; see also [40]). The progress in the estimation of the speed
of convergence in the multidimensional central limit theorem based on the method
of characteristic functions was made by C.G. Esseen [15]~ R. Ranga Rao [29],
B. Von Bahr [1,2], R.N. Bhattacharya [7-9], V.I. Rotar [30~31], A. Bikelis [I0] and
others.

Theorem 2 of ~ 3 belongs to V.V. Sazonov and V.V. Ulyanov [37].

 CHAPTER II

THE INFINITE DIMENSIONAL CASE

In this chapter we shall prove two theorems on the speed of convergence in the

central limit theorem in Hilbert space• The situation here differs substantially

from the finite dimensional case and our knowledge in this area is less advanced.

Let Xl, X2, ... be a sequence of independent random variables with values in

a real separable Hilbert space H and with the same distribution P. Suppose that

EIXll 2 < ~, EX l = ~. EX I is understood in the sense of Bochner or Pettis integral,

under the assumption El×112 < ~ they both exist and coincide and denote V the

covariance operator corresponding to P, i.e. the operator defined by

(Vx,x) = f(×,z-~)(y,~-~)p(dz)

The central limit theorem in H states that the distributions P of the normalized
n

sums n
(Xr-lJ) converge weakly to the normal distribution G with mean zero
l
and covariance operator V, i.e. the distribution defined by

~exp{i(x,y)}G(dy) = exp{-(l/2)(Vx,x)}

Note that contrary to the finite dimensional case even if E is a rather small

class of "good" subsets of H (e.g. the class of all halfspaces, i.e. sets of the

form {x:(x,y) < u}, y ~ H, u ~ R, or the class of all balls) the convergence

P (E)
n
÷ G(E) E ~ E (1)

implied by the central limit theorem may not be uniform in E ~ E. Indeed let

{es}, s = 1,2,... be an orthonormal basis in H and Xrs , r,s = 1,2,... be

independent real random variables such that

0 with probability Ps
= (r,s = 1,2 .... )
Xrs ±~ with probability qs
S

where
0 < qs < l , Ps + 2 q s = l , qs ÷ 0 as s ~ ~, ~ ~2 = L 2 < ~ . Put
S= ] s

Xr = ~iXrs e S • Obviously X
r
are i o i.d, EX 1 = O and JXll < L
_ so t h a t EIx~I 2 < ~ .
S
 70

Take E to be the class El of all halfspaces. We have for any fixed n~ ~ > 0

Pn(x:(es,X) = O) = P((es,n-½ Zn x .) : o)
r = l r

= P(n-½ n
Xrs : O)
r=l
n
] P(Xrs = O)
r=l

n
= Ps

> 1 -c

for all large enough s (say s S). At the same time

G(x:(es,X) = O) = 0

and we obtain for any s -> S

sup [ P n ( E ) - G(E)] .e sup I P n ( x : ( e s , X ) < u) - G ( x : ( e s , X ) < u)[

EcE 1 u~R

(l/2)Pn(x:(es,X) = O)
I
:~ ( I 1 2 ) ( I - ~)

Since E > 0 is arbitrary this implies

sup IPn(E) - G(E) I z l / 2 (2)

E~E l

Inequality (2) still holds if we replace El by the class E2 of all balls in

ft. This follows immediately from (2) if we observe that for any s and u the balls

{ x : I x + (R- U)es] < R} increase with R and their union is the haifspace {x:(es,X) < u}.

However, if we take E to be the class of balls with a fixed center then the con-

vergence (I) is uniform in E~ E and we shall estimate the speed of this convergence.

1. An estimate for balls with a fixed center

Theorem I. Let XI,X2,... be a sequence of independent random variables with values

in a separable Hilbert space H with the same distribution P. Suppose that E[XI2< °°

and that the covariance operator V of P is injectiveo Denote P the distribution

n
of the normalized sum n-½ i (X i -p) where IJ = EX 1 and let G be normal (O,V)
1
distribution. Then for any h ~ I~, n ~ ,2
 71

A (h) = sup IPn(Sr(h)) - G ( S r ( h ) ) l < c c ( V ) ( ( t r V ) ½+ l h j ) " 1 / 3 n - I / 6

n r~O

where

v = fix]3] PXI_~ -GI(dx), ~(V) = oil~ 2-13~3(1 _ o3/2o

2 23) -½ •

The p r o o f o f t h i s theorem is based on Lemmas ] - 5 .

Lemma l. Let G be normal (O,V) distribution on H with V injective. There

exists a constant c such that for any r > O, c ~0, h c H

G(gr,c(h)) ~ cc(V)(o] +lhl)c (3)

Proof. Let ~ ~(y~->... be eigenvalues and el,e2,.., be corresponding eigenvectors

of V(el,e2,... constitute a basis in H). Then G is the distribution of the

random variable Y = ~ o.Y.e, where {Y.} are i.i.d, normal (O,l) real random
j=l J J J J
variables. In p a r t i c u l a r

G(Sr, (h)) = p ( r < iY-hl ~ r + E ) .

Denote fj,gl,g2,g,f the densities corresponding to the random variables

Yj = (qjYj - h')2'j Y] +Y2' 3=3~ ~'J' j=]~~'J = [Y- hI2'IY- hl respectively, where h.j = (h,e3).

It is easy to calculate (Yj being standard normal) that

fj(u)- u
(2~)½oj
exp -
soj
-- +exp f - 2o~ --#JJ
J
"
(4)

Denoting the expression in the square brackets in (4) by dj(u) we may write

gl(u) = "~0 u f l ( u _ v ) f2(v)d v

l d l(u - v)d2(v)
2~°I°2 f~ (u-v)½v ½ dv

l ~ dw
2~°l~---~f ( 1 - w ) ½ w½

-I -1 (5)
= c~ I o 2 •

On the other hand if u>4h' , h ~ =h 2I +h2,

2 w-½,
> then since (~ + B) ½ ~ 2-½(~ ½ + B½) ,

a,B ~ 0
(uw) ½+ h. 22-½(u-4h~)½w½+2½(h')½w½±h.
J J
:z2-l(u-4h') ½, j =],2,
 72

and we have
u - 4h' I
dj(uw) ~ exp "----T---C~j , J = 1,2 .
J
Thus
gl(U) I ] dl(u(l-w))d2(uw)
dw
2~o]o 2 /o --(1 _w)½ w~

< c ~" u - 4 h ' ]

- o17"2 expl- 8 " - ' ~ ~ (6)

for all u > 4h'

Furthermore since

g(u) = f# gl(u-v)g2(v)dv

we have by (5)
g(u)-< coilo22 (7)
On the other hand

g(u) = if ou,2 fu]

u/2
+ gl(u- v ) g 2 (v)dv

= I1 + 12 ,

and by (6)
-< c exp,_4 u _ 4h.)}
'1 ~ L 80 7 ( 5

½ -

v 8ol
for a]] u ~8h' since 2 _ ig2 >- (~_B)2 for ~->B >0.
co

Note now that if Y = 2o23(Y23+Y~), ~F = ~5c~ y2 then for any w~0

j J

p( ~ 02 y2. >w) -< P(Y+~'->w)

j=3 j J
= fo p(~_>w- s)F^(ds)
Y
2 2
-w/4o 3 ~ s/4o 3
= e _f o e P^ (ds)
Y
9
-w/4°3 ~ 2 2 -½
<~ Cl(V)e , Cl(V) = 11 (1 -0./2o~)
j=5 ] ~
since 2-1o32Y is X 2 random variable with two degrees of freedom. Consequently
co

P( ~ Y.->U/2]~ p((j ~ ~ y2]½

j. _ (h,,) ½]
j=3 j 3°. -> (u/2)½
-~ c](V) exp{- (1/4o~)((u/2)½- (h")½)2}
 73
oo

for all u_>2h", where h" = ~ h2 and we obtain for such u

j=3 j

12-<cc(V) exp{-(I/4o23)((u/2)½- (h")½) 2} .

Thus for all u>_81hl 2

g(u) -< cc(V) exp{-(1/8o~) ((u/2) ½ - 21 hi )z)} . (8)

F i n a l l y by (7) and (8)

f(u) = 2 ug(u 2)

.< sup 2u½h(u) + sup 2u½g(u)

O<_u<~81hi 2 81hl2_<u
< cc(V)(o 1 + [ h I )

which implies (3). E]

Lemma 2. Let f be a real nonincreasing function on R such that

f(u) = 1 if u<O

= 0 if u_>s

for some s>O. Then for any two Borel probability measures QI,Q2 on

sup I Ql ( s r ( h ) ) -Qz(Sr(h))l ~< sup I / f ( l × - h I-s)(Q1 -Q2 )(dx)

r>_O s>O

+ 3 sup Qz(Ss, (h))

s_>O

Proof. Denote for b r e v i t y R = Q1 -Q2" If R(Sr(h)) _>0 then since

XS (h) ~< f ( t x - hl - r)
r

f(Ix- hl - r) -XSr(h) -<xs r,~(h)

we have

IR(Sr(h))l =fXs (h) (x)R(dx)

r

_< ff(Ix-hl- r)R(dx) + Q2(Sr,c(h)) . (9)

If R(Sr(h)) < 0 then since

Xs~(h ) -< 1-f(l×-hl-r+~)

1-f(lx-h I -r+~)-XsCr(h) -< XSr_e,c (h)

 74

we have

[R(Sr(h)) [ = R(sC(h))

< f(1 - f(Ix - h] - r + c ) ) R ( d x ) + Q2(Sr_e,c (h))

-< [ f f ( [ x - h ] - r + E ) R ( d x ) [ + Q2(Sr_~,~(h)) (lO)

Note also that if t -< 0, 6 > 0, then since

f([x-h[-t) s f(Ix-h[-6)

-< XS (h)

f(Jx-h/ -t) < x s (h)

E

we have

[ff(lx -h I - t)R(dx)l s ff(Ix - h ] - t ) ( Q 1 + Q2)(dx)

< ff([x- h i - 6)R(dx) +Q2(Sc(h)) +Q2(Sc+6(h))

and since ~> 0 is a r b i t r a r y it follows that

[ff(]x- h I - t)R(dx)[ 4 sup [ ~ f ( l x - h I - s)R(dx) I +ZQ2(S ( h ) ) . (11)

s<O
Now (9) - (11) imply for any r> 0

I R(Sr(h))] ~ sup [ f f ( ] x - h [ - s)R(dx) I +3 sup Q2(Ss (h)).

s>O s20 ,c

Letting r÷ 0 we see that this inequality is also true for r=O and the lemma

follows. D

For each > 0 let f be a real non-increasing function on R with three

continuous derivatives such that

f c (u) = l if u ~ 0

= 0 if u > c (12)
If(J)(u)l ~ cg j j = 1,2,3

For example we can take fc(u) = p(uc -l) where

p(u) = l if u ~ 0

= (l - u4) 4 if O<u<l

= 0 if u ~ I.

For fixed Zl, z ~ H, s > 0 define

 75

gc ( t ) = f c ( { Z l + tzl - s ) ' t ~ R.

Lemma 3- go(t) is three times c o n t i n u o u s d i f f e r e n t i a b l e and

l~J)(t)l < cc-Jlzl ], j = 1,2,3 (13)

Proof. Denote h(t) : Izl + tz I . For t with h(t) = 0 (13) being obvious we may

suppose h(t) #0. We have

g'(t) = f'(h(t) - s)h )

C t) (14)
g~'(t) = f"(h(t)c - s)(h (t)) 2 + f'(h(t) - s)h"(t)

g~'(t) =f~c'(h(t) -s)(h (t)) 3+3f"(h(t) -s)h'(t)h"(t)+f'(h(t)-s)h"'(t)

c

and a straightforward calculation gives

(z 1 + t z , z )
h'(t) = h(t)

(z~ + t z , z ) 2
(Is)
h"(t) = h ' ~ - h-(t-)3

(z I + t z , z ) I z I 2 (z I + tz,z) 3
h'"(t) = - 3 +3
h(t) 3 h(t) 5

Note now that f (v-s) as a function of v~_R is three times continuously

di fferentiable and f(J)(-s) = O, j = 1,2,3. Thus

f'(v- s) =
;v f"(s I - s)ds I
E O C

s1
;v I f" (s2 s)ds2ds l
O O

and we obtain for v_>O

I~(J)(v-s)I < vj-i sup f(J)(u)l I <_i s j _ < 3 . ()6)

u

The Lemma follows now immediately from (12) - (16). D

Lemma 4. Let G be normal (O,V) distribution on H and P be a probability

distribution on ff with the same mean and covariance operator as G. For ~ > 0

define distributions ~),G by

P ~B) = P(~B),G (B) = G(eB) (17)

where B are Borel sets. Then for any h~H, s,~,B,y> 0 and i =0,1,2
 76

l f f g ( l x - h t -s)pi~GB~,~(dx)l < c(1 + -1 + -2)~{-3~

- 1

+ cc(V)[a 1 +B(1 + - l ( i trV)½+lhl)]13e-2y-3~ 1 ,

where f is defined in (12), Q• = PT) Gy ,

"l = fl×l 3 ;Qll(dx)

Proof. For any x,y,z ~ H denote

g (t) = g , x , y , z ( t ) = f (]x+y+tz-h t -s) • (~8)

The properties of f imply obviously

g(J)(t) :(J) (t)X (y), j = 1,2 ..... (19)

¢ = Yg S
S~E
(h-x-tz)
and
c](J)(o)
E
= 0 if ]x+y-h t = O, j = l , 2 , . . . .

Fo r Ix + y - hl # 0 denot ing zI = x + y - h we have by (14), (15)

(Zl,Z)
g~-'(o) = f~(IZT -s)~
(20)
(Zl,Z)2
g~-- (o) = f~'(tz 1 - S) - - +, izi
Iz112 iz113I
Observe that both Py,Gy have mean zero and covariance operator y-2V. Thus for any

zl E~
f(~',z)O(d~) = 0
f(z',z)2Q (dz) = 0
T
fl~j2Q(dz) =o
T

and we see that for any x, y g H

f 9g~x~y
:(J) ,z(O)Qy(dz) = O, j = O , 1 , 2 .

Consequently we may write

]ff~(]x-hl -s)p~-G~ ~ O.y(dz)l = t H f g ~ ( l ) ~ ) ( d x ) G $ ( d y ) % ( d z ) l

2

= l f f f G ~ (])- J = O z(J)(o)/j')p(:)(dx)GB(dy
~ ) - x

5
O~(d~)
(2l)
l r
 77

where

z~S I

13+j = /ffz~st :(J)(o)I~)(dx)GB(dy)IQy)(dz)

C IY~ , j = 0 , I , 2 .

To estimate 12 -15 we use Lemma 3 and the inequality

IS Czl]i\i(dz) -3 ~I' j = 0,1,2

to obtain
5
I r ~ c y - 3 ( l + c -1 + c - 2 ) v ! . (22)
2

Furthermore by (19) and Lemma 3

I 1
<
- cc
-3fS1 [zl3l%l(dz)ff×s
s , c (h-×-~z) (Y)PZ~(d×)Gs (dy).
(23)

Now by Lemma l

GB(Ss,e(h-x-Bz)) = G(Sl~s,~c(6(h-x-ez))

~< ~ ( V ) ( O l + ~ ( l + l × l + l h l ) B ~ ,

and since

/[×L/l(dx) <-~-l([Ixl2p~(d×))½
-I
=~ (i tr v)½ ,
we have

J'fXS (h-x-Bz) (Y)Pia)(dx)G~(dy) ~<cc(V)(°l +B(I +a-l(i tr V)~+lhl))Bc •

S~7

Thus
Il ~ cc(V)[o| +B(I +~-l(i tr V)½÷lhl]By-3~-2~ (24)
The lemma follows now from (2l) - (24).

Lemma 5. If P is any probability distribution on H, G is normal (O,V) dis-

tribution on H and Q= P- G then

IQI(H) -< c(°IC(V))3/4vl/41 (25)

where Vl = [IxI3 IQI(dx)" If moreover P has mean zero and covariance operator

then for all n ~2,

 78

]Pn(Sr(h)) - G(Sr(h))I ~ c(n)(l + c(V))[1 + (tr v) ½ + lh[~julll3 (26)

where Pn is defined by Pn(B) = pn(n½B).

Proof. To prove (25) we note that for any c>0

IQI(s~) ~ (P+G)(S c)

=_ Q(s C) +2G(S c)

< !QI(s~)+2G(s)
IQI (s~) < ~-3#sC[xl 3[QI (dx)
E

c-3~o
1 "

Moreover by Lemma l

G(S ) ~ COlC(V)~ .

Thus

3QI(H) _< 2(c-3~ I +COlE(V)()

Putting here c = (°I C(v)) vl we obtain (25).

To prove (26) observe that by Lemmas 1,2

IPn(Sr(h))-G(Sr(h))I < sup Iffc(lX-h I -s)(Pn-G)(dx) [ +cc(V)(o I + lhll~.

s>O
(27)
Furthermore defining P, G, ~>0 as in (17) and putting % = P)- G we may

write
P -G = pn _G n
n (n½) n½
n

= i=1~ I~]Qin½"~Gn-i
½n
n-2
n + ~ c(i , pi ~ Gn-i-l (28)
= Qn ½ i=O 'n) Qn½ (n½~ n½

If f is any real measurable function on H with 0 < f< l then

Iff(x)Q<½(dx)[ < (I/2)EIQl(H)]n (29)

Indeed (29) is obvious for n = I and for n > 1 using induction on we have

lff(xlQ~½(dxll = l##f(x+y)Qn-ln
½ (dX)Qn½(dY)[

<- (I/2)EIQ[(H)]n-IIQ½T(H)
n
(I/2)EIQI(H)] n •
 79

On the other hand, since Gn-i-l

n½ = G )~, by Lemma 4 with = n½
(n/(n-i-]

B = ( n / ( n - i - l)) ½, y = n½ for any E, 0 ~ ~ ~ ]

l#f~(Ix- hl- s)P'~(n

~)* Gn-i-1*n½ Qn½(dx) l _< ce -2 n-3/2 Vl

+ cE(v)[o I + (n/(n-i-l) ½ (l + n-½(i tr v) ½ + lhl)](n/(n-i-l)½e-2n-3/2vl

c(n,i) (l + c(V))[l + (tr V) ½ + Jhl3c -2 v I . (30)

Now i f (I +o I) (I +c(v))v]/3 ~ ] then combining (27) - (30) and (25) and putting
1 - ,, 113 > I the inequality (26) is
= vi/3 we obtain (26). If (I +Ol)(l +c(V))v 1

obvious and the Lemma is proved.

Note. The proof of (25) presented here belongs to V.V. Yurinskii.

Proof of Theorem I. Without loss of generality we may assume p = O. Suppose at

first that a I = I. For n< 4 the theorem follows from (26). To prove it for n24

we shall use induction on n. Let ~> 0 be arbitrary and let f be a function

with properties (12). By Lemmas 1,2 we have

An(h) =sup IPn(Sr(h)) - G(Sr(h)) I 4 sup l # f E ( I x - h l - s ) ( P n - G ) d x ) l * c c ( V ) ( ~ | + l h j ) c .

r~O s>O
(3~)
-½
Denoting P(n) the distribution of n XI ,

Gt(.) = G(t.), t i = (n/(n- i - I)½ , i = 0,n-2

i
in = In/2], H i = P(n) - G ni½ ' i = i,n

i : , =
Vi = P(n) * Gt.' i = 0,in , V i Hi*Gt. i in+ l , n - L
I I
Vn_ 1 = Hn_ 1

and observing that

G ½n-i-l = Gt. , G i½ , Gt . = Gt
n I n I 0

we may write (cf. Ch. I, §2, (24) and (40))

n _ Gn
Pn - G = P(n) n½

rn-1 i
, * G n-i -7]
L:~0P(n) n½ ~ *Hi

[i~ i n-2
= iP(n) *Gt. + H i *Gt. +Hn_ l + (n- in)Gto ] *H I
i t i=i n + 1 I
 80

in)V °
=
C°i'
i I
V
i
+ (n-
]*H l • (32)

Applying Lemma 4 with c~ = n½, B -- t i , y = n½ we obtain for a l l i = O,i n , 0<~_< l

lff (Ix - hl - s)V I * H I (dx) l -~< cE-2vn -312

+ cc(V) [o I + t i (I + n-½( i tr V) ½ + lhj ) ] t .c-2~n -3/2

I

4 cc(V)((tr V) ½+lhl) E-2vn-3/2 (33)

For i = in +i ~
n-i putting Gtn_l = 6 O (the distribution concentrated at zero

in H) we have as in (21)
5
Iffc(Ix-al -s)V i *Hl(dx)l ~< Z J (34)
I r
where
Jl = ~ ff; Ig~ '(O)I JHil(dx)Gt.(dy)IHl I(dz)' lOI ~ ]
i
ziES 1

J2 = H I g~(1) iHil(dx)Gt(dy)IH]I(dz)
z~Si

J3+j = ~ f Iz(J)(°)lYc IHil(dx)Gt.(dy)IHlI(dz)' J =0'1'2'

zES~ t

and g~(t) is defined by (18).

Observe now that (19) may be written as

-(J) (t) = gc
gc z(J) (t)X S (h-y-tz) ( x ) , j = 1,2 . . . . . (35)
S~C
and the same argument as in (23) g i v e s

Jl 4 c~-3fsilZl3 IH11(dz)ffSs,c(h-y-tz) (x) IHil(dx)Gt.(dy)., (36)

Furthermore putting g = h-y-Oz we have

i i
IHil(Ss,~(g)) ~ (P(n) + Gn½)(Ss,c(g))

= Hi(Ss, (g)) + 2Gn½(Ss,c(g))

2 sup i H i ( S s ( g ) ) I + 2G~½(Ss c (g)) . (37)

s>O
Moreover since for any Borel set B

Hi(B) = ( P i - G)(siB)
 81

Gn½
i = Gs. , Gs.(B) = G(s i B)
I I

where s. = (n/i) ½, by (37), Lemma 1 and the inductive hypothesis for all
i

z: IzI ~ l , i = i n +l, n-1

IHi1(Ss,e(g)) ~ 2 sup l ( P i - G ) ( S s ( S l g ) ) I + 2 a ( S s . s , s ~ ( s i g ) )
s>O 1 i
c~(V)((tr V)½+silgllvl/3i-I/6+c~(V)(o1+siJgl)si~
.~ c c ( V ) [ ( t r v)½+Jhl+lyl ] ( ~ v l / 3 n -I/6 +~). (38)
Note also t h a t
[lYlGt.(dy) ~ ((n-i- l)In)½([lyl2G(dy)) ½
i
= ((n-i-1)/n)½(tr V) ½, i ~ n - 1 . (39)

Relations (36) -(39) imply

Jl ~ c~-3n-3/2vc(V)[(tr V)½ + lhl + ((n- i -1)/n)½(tr V)½](cvl/3n-I/6+~)

cc(V)((tr V) ½+lhj)(cC-3v4/3n -5/3+8"2vn-3/2).

To estimate J2-J5 we use (12), Lemma 3 and the inequality

fs~IZlJINll(dz) -< n - 3 / 2 v , j =0,I,2,

and o b t a i n f o r a l l ~:0<~-<1

5 J ~ cE_2vn_3/2 o
2 r

Thus f o r a l l i = i n+1, n - l , 0 < ~ ~1

[ff (Ix-hl-s)Vi*Hl(dX) I ~ c~(V)((trV)½+lhl)(cc-3~4/3n'5/3+c-2n-3/2v) . (4o)

From (31) - (33) and (40) we deduce

An(h) ~ cc(V)((tr V)½+lhl)[~'2vn -½+ce-3v4/3n -2/3+C] (41)

for all E:O<~ ~ 1.

We may assume t h a t c is so large t h a t ~ 1 and

c(c "3/2 +2c -3/4) ~ I

(here c is from (41). Then if

(c)¼vl/3n -I/6 _< l (42)

 82

we may take in (41) to be equal to the left side of (42) and thus obtain

A (h) ~ c~(V)((tr V) ½ + [hl)vl/3n-I/6[c(c'3/2 +2c-3/4)]

n

~(V)((tr V) ½+lh[)vl/3n -I/6

If (42) is not satisfied the conclusion of the Theorem is obvious.

Thus we have proved the Theorem in the case o I = I. If oI# I consider the

sequence X[j = o~Ixj,-, j =1,2 ..... Marking the quantities corresponding to {X[)
J
with prime we have

&~(h) = &n(hOl) V' = oi2V (hence c~1' = 1 )

E(V') = o~E(V)

These formulas imply easily that the general case follows from the case 01 = I.

2. A better speed estimate for balls with a fixed centre

In this section the speed of convergence in the Central Limit Theorem in Hilbert

space will be improved to n -~. However, this improved estimate is worse than that

of Theorem I, ~l, in some other respects. The difference of the two estimates reflects

the limits of the present progress in this area.

Theorem I. Under the conditions and in the notations of Theorem I, §1 if

EIXII3,, = ~ <

then

A n <_ c ( S , B ) (1 + Ihl)372n -~, n = 1,2, ... (1)

where S = (01,o2,...)

In what follows we use the notations of Theorem I, 5J and assume that its con-

ditlons are satisfied. We may also suppose that ~ = EX l = 0.

Lemma I. If Y is a random variable with distribution G then for the characteristic

function g(t,h,V) of IY+hl 2 we have

g(t,h,V) = fexp{itlx+hI2~G(dx)

= exp~it(Rth,h)~g(t,O,V ) ,
 83

where

R t = (I-2itV) -1

Moreover

g(t,O,V) = ~ (l-2ito~) -½ (2)

j=l

Proof. Let {el,e 2 .... } be a basis in {4 constituted by the eigenvectors ei

corresponding to the eigenvalues o2 of V. The real random variables Y. = (Y,ej)

J J
are independent normal (O,oj). Denoting hj = (h,ej) we have

g(t,h,V) = E e×p{it[Y+hl 2)
ee

= E exp{it ~ (Yj +h.)2}

j=l J

= ~ E exp{it(Yj+h.) 2}
j=l J
~ _ f it(x+hj) 2-x2"~
2/zoj.
(2~)-%_ l e dx
j=l J

= exp(ith2jl(l-2iron)} (2~) -½oj-1 [e itx2-x212°~dx(3)

thus

g(t,h,V) = exp{it(Rth,h)}g(t,O,V).

Finally (2) follows from (3) and the well known formula for the characteristic

function of the square of a normal (O,o) random variable

(2~)-½o -l eitX2-X2/2°2dx = (] -2ito2) -½. 0

J

Denote by F(k,o) the class of all covariance operators such that ok O

(o~ being the k-th eigenvalue of V in the decreasing order). Obviously

F(k,o) ~F(k',o') if k' ~k, o ~o'

Corollary 1. In the notations of Lemma I for any integer k

Ig(t,h,V) I ~ (] +4Okt2)-k/4 .

This inequality implies in particular that if Y is a normal (O,V) random variabl~

with V E F(3,o) then the distribution of IY+h[ 2 has a density which is bounded

by some constant c(o).

 84

Corollary 2. If X,Y are independent random variables with values in H and Y is

normal (O,V) then

IE exp{itlh+X+Yi2~I ~Ig(t,o,v) I .

indeed
IE e x p { i t l h + X + y l 2 } l = IE g ( t , h + X , V ) l
~Ig(t,o,v) I

Lemma 2. The function

g(X) = g ( t , h I +Xh2,V) , X c R', hi, h 2 •H

is infinitely differentiable with respect to k and

~'(~) = t(y +~)~(~)

g"(X) = [t2(y +X6)2+t~]g(X)

g"'(X) = [t3(y +~6) 3+3t2(Y +X6)6]g(k)

~ ( i v ) ( x ) = [ t 4 ( y + k 6 ) 4+6t3(Y+ka)2~ +3t2a2]g(X) (4)

where

y = 2 i ( R t h l , h 2) , 6 = 2i(Rth2,h2)
Moreover
IYl ~ 2]hll lh2] , I61 ~ 21h2]2
(5)
Ig(~)I ~ Ig(t,0,v)l

Proof. Lemma I implies

g(X) = exp{it(Rthl,h l) + X t ~ + (l/2)~2tB}g(t,O,V) .

Differentiating this equation we obtain (4). inequalities (5) also follow immediately

from formulas of Lemma I. 0

Lemma 3. For any ~, 0 < ~ < I, there exists a bounded (two-valued) real random

variable ~ =~(~) such that

E~ = O, E~ 2 = ~, E~ 3 = I.

Proof. The indicated properties are enjoyed by a random variable ~ which takes

values
(I *(I +4~3)½)/2~
 85

with probabilities
I/2± I/2(I +4~3) ½ . D

Lemma 4. Let X be a random variable with values in H such that EX =0, Elxl 3 <~.

Denote V the covariance operator of X. Let Y be a normal (O,(I -~)V), O<a< l,

random variable and let ~ =~(e) be a real random variable with properties described

in Lemma 3. Suppose that X,Y,~ are independent. Then X' = ~ X + Y has mean zero,

covariance operator V and for any hl,h2,h 3 E H

E(X,hl)(X,h2)(X,h3) = E(X',hl)(X',h2)(X',h3) (6)

(in other words X and X' have the same moments of the f i r s t three o r d e r s ) .

Moreover
ElX,l m _< c(m,~)ElXl m, m > 2 .
(7)

Proof. Since ¢,X,Y are independent, Eg=O, EX=EY=O in H, E~2=~ and the co-

variance operators of X,Y are V, ( 1 - ~ ) V respectively, we have for any hl,h 2 E H

E(X',hl) = E~E(X,h l + E(Y,h I )

: 0 )

E(X',hI)(X),h2) = E~2E(X,hl)(X,h2 ) +E(Y,hl)(Y,h2)

= (Vhl,h2) ,

i.e. EX' = 0 and the covariance operator of X' is V. Equation (6) is proved in

a similar way: one has only to observe that the symmetry of the d i s t r i b u t i o n of Y

implies for any hl,h2,h 3 ~ H

E ( Y , h l ) ( Y , h 2 ) ( Y , h 3) = O.

In order to prove (7) we shall show first that for any positive integer m

EIY[ m ~ c(m)(EIyI2) m/2 (8)

Indeed l e t v I ~ V 2 ~ ... be the eigenva|ues of the covariance operator of Y and

el,e2,..- be the corresponding orthomormal eigenvectors. Denoting Yj = (Y,ej) we

have
(9)

(10)
 86

If m is even (8) is e a s i l y obtained by comparing (9) and (]0) and observing that
EIYj12~=v c(~), ~ > O. If m is odd we use the moment inequality

EIyI m < (E[yIm+]) m/(m+l)

and apply (8) for even m.

To prove (7) we observe now that since

(a+b) m ~ 2m-l(a m+bm), a,b ~ O,

we have
E[X'I m ~ 2m-l(El~]mEJXl m + ElY[ m)

and, moreover by (8) and a standard moment i n e q u a l i t y

EIYI m ~ c(m)(E[yl2) m/2

= c(m)((]-~)tr V) m/2

= c(m)(]-~)m/2(E[XI2) m/2

c(m)(1- ~)m/2EIXjm.

Together with the obvious inequality EI~I m ~ c(m,~) this proves (7).

Lemma 5. Let Xi,Yi, j = l~...~n be H valued and (j, j = l,...,n be real random

variables. We assume that Xj,Yj,(j, j = l,...,n are independent. Assume also that

Xj, j =l,...~n are identically distributed, IXj! ~B, EXj = O and that the covariance

operator V of X. belongs to F(3,o). Finally we suppose that

Y. are normal
J J
(0,(I-c~)V), 0 < ~ < I and Cj=(j(~) satisfy the conditions of Lemma 3- Put X'.j =

= ~jXj +Yj and let Pn(resp. Pn ) be the distribution of n-½i Xj (resp. n-½iX'.) .
1 I j
Then for any h ~H

~n = sup IPn(Sr(h)) -P'(Sr(h)ln

r~O
_< c ( ~ , a , B ) ( I + l h ! ) n -~ (Ii)

Proof. Denote by P(n)(resp. Pin),q(n),G(n)) the d i s t r i b u t i o n of n-½Xj(resp, n-½Xj,

-½ -½ ,

n ~jXj,n Yj) . Then

Pn -
P'n = P(n)
n _ (p,(n)) n
n-1 .
= (P(n) " P'(n) ) *jZoP= ~n) *Q(n)n-J-1 *Gn-j-l(n)
 87

Note that since n-j-1 is normal (O,Vj,~) distribution, wLere V. = (l-(j+l)/n)x

G(n) Jg~

× (I-~)V, we have by Lemma 1

~exp{itlh+x+zl 2.~G(n
n-j-l(dz)
) = g (t,h+x,Vj,), x ~ H

Hence
6n(t) = fexp{itlh +xI2](Pn- p'n)(dx)
n-l • _n-j-l,
= ~ ffg(t,h+x + y'Vj,~) (m(n/~ -P'(n) )(dx)(P~ n) * QJn)~ * Q(n) ; (dy)
j=0
n-I
= ~ I. .
j=O~ J

Denote for brevity

gl,j(X) = g(t,h+%x+y,Vj,~), ~ ~ R

and observe that by (4) and Lemma 4

#^(k)(o) ' ) (dx) = O, k = 0 '1,2,3"

gl,j (P(n) - P(n)

Thus expanding gl,j(X) by Taylor's formula up to the term of the fourth order we
obtain • n-j-l)
l'jl ~ (I/4]1## sup I~i,3
(iv)(klJ(P(n) +Pin))(dxl(P}n) *Q(n) (dy). (12)
0~I
Furthermore by Lemma 2
^(iv)
sup Ig I ~ (X) I ~c{t4[(lhl4+lyI4) Ixl4 +IxlSl
O~X~I 'J (13)
+ Itl3rlhl2+lyl2)l×l 2 +[xl4]lxl 2 +t2[xl4]Ig(t,O,Vj, )I.

The assumption IXjl <B and Lemma 4 imply also

flx[mm
(n)(dx) = EIn-½XII m

< Bmn -m/2

/ I x l m P(n)
, (dx) = EIn-½X~I m

-< C (m,~)Bmn -m/2 (14)

Finally by the properties of Xj and ~j we have
• n

I JyI2P~n) ~Q(n)n.j-l(dy)
' = E In-~ILr=IIX +r r=l+2~rXr] I2

o'filXrI
Lr=l
+r=j+2
i rJXrl ]B2 (15)
 88

and similarly
! n )
Ily,mP
• n* Q(n)nil (dy) = Eln-½( l Xr+r +2 rXr14
r

< B4c (~) (16)

(the last inequality follows from the implication: if E(Xrl,Xr2)(Xr3,Xr4) ~ 0

then r I = r2= r3 = r 4 of r I = r2, r3= r4 or r I -- r3, r2= r4 or r I = r4, r2 = r3).
From (12) - (16) we deduce now

lj -< c(c~,B)n-2(l +jhJ)4t2(l +t2)jg(t,O,Vj, )l

so that n-I
[~n(t)[ <- c((~,B)n-2(l +lhj4) t2(l + t 2) ~ Ig(t,O,Vj,~)J • (17)
j=O

Note now that the distribution of ih+n-½ i XjJ 2 has a bounded density p(~).
1

Indeed, denoting X = n ~ -'iCj l

, Y = n -½ i Y.1 J
we have

P(Ih+X+yI2< u) = I P ( J H + x + y I 2 < u)Px(dx)

and by Corollary I the distribution of jh+x+YI 2 has a density q(x,u) which is

bounded by a constant c(o). Hence p(u) exists and

p(u) = lq(x,u) Px(dx)

_< c(o') .

Applying Esseen inequality [15] and using (17) we may thus write

IT
_< c [I Z ~ n ( t ) . t - l d t + c ( o ) T - 1 (18)
n 0
_< c(c~,o,B)[n-2(l +lhl) 4
;0 t(l
j=O
Jg(t,O,((j + l ) / n ) ( l -~)V)Idt+T-l].

Furthermore it follows from (2) that

Ig(t,O,u(l-~)VI = Ig(ut,O,(l-~)V)I

as a function of u >-0 is nonincreasing and hence

_i n 1 r 1
n i Ig(t,O,((J + l ) / n ) (I - ~)V) [ < jg(ut,0,(l - ~)V) Idu
j=o Jo (19)

-< t -1 l g ( v , O , ( l - e ~ ) V ) I d v = c ( c ~ , c Q t -1.
0
 89

Together (18) and (19) imply for any T ~ l

6 ~ c(~,a,B)En-l(l + lhl)4T 3 + T -l] . (2o)

n

If
(1 + I h l ) n -¼ < 1 (21)

we can take in (20) T = (] + t h l ) - l n -¼ and ( 1 t ) fo]tows. If (21) ;s not s a t i s f i e d

the v a l i d i t y of (l]) is o b v i o u s . D

Let X be a random v a r i a b l e w i t h values in H such t h a t EX = O, ~ = E I X / 3 < ~ .

Denote by X the truncation of X at a level R > O, i.e.

x if Ixl < R
= (22)
o if lxt ~ R .

Putting P = PX' ~ = PX we have for any Borel set A

P(A) = P(A n SR) + P(S~)XA(O)

If P(SRI) > O, R I > O, define also a measure P] by

PI(A) = P(A n SRI)/P(SRI)

Lemma 6. If R > Rl and P(SR]) >- I/2 then

->0/21 P I

so that
= (1/2)P l + ( ] / 2 ) P 2 (23)

where P2 is a probability measure concentrated at SR .

Furthermore for any positive integer k if R| ~ c(k,B) then

alj ~ (l/2)o , j = ] ..... k (24)

2 2 2 > 2
where a| ~ o 2 ... (resp. alj - a2j ~ ...) are the eigenvalues of the covariance

operator of P (resp. PI). Similarly if R 1 ~ c'(k,B) then

~2 >- (3/4)a~
Olj , j = ] ,... ,k (24')

^2 ^2
where Olj ; a2j ~ ... are the eigenvalues of the covariance operator of the measure

P](A) = P(A n SRI) + P(S~I)XA(O) .

 90

Moreover
xP(dx) I -.<- BR - 2

and if P(SRI) > I/2 then

x[3P2(dx) ~ 2B .

Remark. Clearly there e x i s t Cl(k,B) such that if

R1 ~ Cl(k,B) (25)

then R1 e(k,B), R1 ~ c (k,B) and P(SR1) ~ 1/2 simultaneously.

Proof~ If R > R1, P(SR1) > I/2 we have for any Borel set A

P(A) ~ P(A n SR)

P(A n SR])

(I/2)P(A n SRI)/P(SRI )

= (]/2)PI(A) .

Furthermore the theory of perturbation of linear operators in Hilbert space implies

that to prove (24) it is enough to show that for any ~ > 0 we have

sup I ( V - Vl)h[< ~ if R1 > c(~,B) (26)

hcS 1

where Vl is the covariance operator of P1 " Denoting

Pl = P(SR l )

~1 = fXPl(d×)
- (d×)
= pllfSRlXP

= _ p~l;SR ×~(d×)
we may write

(Vhl,h 2 ) = f(h 1 ,x) (h 2 ,x) P(dx)

( V l h l , h 2) = f ( h l , x ) ( h 2 ,X)Pl(dX ) - ( h l , ~ l ) ( h 2 , g 2)

Pil#sRl(hl ,x)(h2,x)P(dx)
=

P~2;sRc(hl ,x)P(dx)fs c(h2,x)P(dx) •

1 R1
 91

Consequently

I((V-VI)hI,h2) I ~ [(I - p~]) fSRiiXi2p(dx ) +fSR~iXi2p(dx)

+ p[2IfSR~[×IP(dx)]2llhIJlh21 ,
and (26) follows. Relation (24') is proved in a similar way. Finally

l[s R ×P(dx) I = Ifs~ ×m(d×)l

R-2fs~I×13p(d×)
6R -2 ,

and if p] ~ I / 2 , then P2 ~ 2P and

flxl3P2(d×) ~ 26 .

Preserving the notations of Lemma 6 denote by X' a Pl-distributed random

variable and let ~=~(1/2) be a real random variable described in Lemma 3 and Y

be a (0,(1/2)V I) normal random variable, where V| is the covariance operator of

Pl " The random variables X',C,Y are supposed to be independent. Let PI be the

distribution of

EX' + ~ ( X ' - EX') + Y

and put (assuming that R~RI, P(SRI) ~ I/2)

= (1/2)P 1 + (I/2)P 2 . (27)

Lemma 7. For any r ~0

flxl3+r#(dx) ~ c(r)6R r .

Proof. By Lemma 4 for any s ~2

fJxlSpl(dx) = EIEX' + ¢(X'- EX') + y[S

c(s)(IEX'I s + El~(X'-EX') + YI s)

< c(s)(ElX,l s + EIX'-EX'I s)

c(s)E[X'I ~

= o(s)fl×lSp](dx) .
 92

Hence, since P = (P1 +P2 )/2' ~ = (PI +P2 )/2'

flx[3+rp(dx) ~ e(r)flx[3+rp(dx)

< c(r)Rr}IxJr~(dx)

< c(r)t3R r . D

Lemma 8. Let P be a probability measure with the same propertTes as in Lemma 6

and with covariance matrix V c F(k,o), k m 3. Suppose that RI S R and that R1

satisfies (25). Let P, } be probability measures defined by (23), (27). Further-

more let Xj(resp. Xj) be independent random variables with

P~. = P(resp. P~. = P)

J J
and denote

n ] ' n

= n-½ i Xj Pn = P~
n ] ' n

Then for any h~ff, r z O

IPn(Sr(h)) - Pn(Sr(h))l ~ c(B,o)(I + lhl + n¼R-2)n -¼ (28)

and

IE exp{itlh+Snl2]l ~ Ig(t,O,(I/8)V]) I +exp{ -e'n} (29)

where g is the same as in Lemma I and c' > O,

Proof. Denote

~1 = f×Pl (d×) ~ f×P1 (d×) , % = f×P2 (~×)

and for any Borel set A and integer j>0 let

PI(A) = PI(A-~I ) P1 (A) = PI(A-~I )

P2(A) = P2(A-~2 )
- 1

(P1)j(A) = (P1)J(j½A) (P1)j(A) = (F1)J(j:A) .

Then, since for any ~> O, f ~ H

c~(S (h) +f) = S (c~f+c~h)

r c~r

we have
 93

Pn(Sr(h)) = p(S n Sr (h))

= (2-1(p 1 +P2))n(n½Sr(h))
n

=
nJ ~n
~ (j]2 PI '~' P2 (n~S r (h))
j 0

= ~ °I?
2 nPi '*P2 (n'Sr(h) -j)J l - (n - j)~2)
jo
= 2-nP2(n½Sr(h ) - n~2)
n

+ ~ (~]2-nj'(P1)j(j-½(n½Sr (h) -J#l -(n - J ) # 2 - x ) ) P 2 - j (dx)

j=l
= 2-nP2(n½Sr(h ) - nP2)

+ ~~ r_;_
;n) ~ - n ; / h_) ; / s , ((n/j)½h - j½# - ( n - j ) j - ½ -j-½x)P~-J(dx). (30)
j=l (n/j)~ r 1

Similarly

Pn(Sr(h)) = 2 P2(n~Sr(h) - nP2)

r,(~; _ ~ , , .½
+ j~l 2"n[(-1)j(s ((n/j)=h -J # l - (n - j)j-½ - j -'=x)P~-J(dx).
- " (31)
"= (nlj)=r

By Lemma 5 the absolute value of the difference of the integrands in (30) and (31) is

not greater than

O.(x) = c ( o , 6 ) ( I + (n/j)½1hl +lj½pl + (n - j ) j - = p 2 1 + j = I x l ) j ~

J

Furthermore by Lemma 6

lj=pl + ( n - j)j-=p2] = jj~(,#l+p2) +j =(n-2J)P21

1 _
< 2j~I3R 2+j _
~ n _ 2 j l ( 2 B ) 1/3
and
ftxl#~-J(dx) < (fjx[2#2-J(dx))½

= (n- j)½(J'txI2P2(dx)) ½

(n-j
.)3i (]1 xl 2P2(dx)) ½
(n-j)½(2B) 1/3

Consequently
 94

fDj(x)P2"J(dx) -< c(o,B)(] + (n/j)½1hl +j~R 2 + j - ~ I n - 2 j l

+ j ~(n- j)½)j-¼

Thus we obtain
n
-
IPn(Sr(b))-Pn(Sr(h))I <c(o,~ ) ~ l{~] 2-n13 -'~+ j-3/4n½1 h !
J
+ j¼R -2 +3"3/41n -2jl +3 -3/4(n- 3)½]

c(o,~) IE(I +n)-¼+ n½[hIE(l +n) -3/4

+ R 2En~+E(I +q)-3/4,In -2TI1 +E(l +n)-3/4(n-n) ~] (32)

where q is binomially distributed, i.e• distributed as the sum of n independent

real random variables qi such that P(n i = O) = P(n i = l) = I/2. Note now that by

Bernstein inequality for any ¥> 0 we have

E(1 +~)'Y .~<E(I +n)-TXn>n/4 + P(n < n/4)

(I +n/4) -7 + e -3n/32

c(y)n -Y (33)
Moreover
E(I +n)'3/41n -2nl s (E(I +n)-3/2E(n - 2q)2) ½
= n½(E(l +q)-3/2)½

E(I +q)-3/4(n-n) ½ ~ (E(I +n)-3/2E(n-q))½

z
= (nl2)2(E(l +n) -3/2)½ (34)
and, obviously

E~ ¼ <_ (E~) ¼

= (n12) ~ (35)

Relations (32) - (35) imply (28).

To prove (29) we note that P = (I/2)(Q*Gb+P2) where Q is a probability

measure and GI is normal (O,(I/2)V l) (see (27) and the definition of PI above)•
• i

Observing also that G~(n~A) as a function of Borel sets A is the normal

(O,(j/2n)V l) probability measure, we have (see Lemma ])

 95

E exp{itlh+Sn 12} = ~[ (n]2-n/exp{itlh+n~x 2}Qj "~'G~ "*P2-J(dx)

j=O j
n _ 1 *
= ~[ (~]2-nfexp{itlh+x+n ~y 2}G~(n~dx)QJ *P2-J(dy)
j=O
n
n -n -1
= ~ (i]2 fg(t,h+n 2y,(j/2n)V1)QJ *P~-J(dy) . (361
j=O"
Furthermore for j > n/4 the formulas of Lemma l imply

Jg(t,h +n'½y,(j/2n)V1) j _<IIg(t,O,(j/2n)Vi) j

Ig(t,O,(l/8)vl)i (37)

Moreover applying e.g. Bernstein inequality we have

! (~] 2-n < e'3n/32 (38)

j< /4
Relations (36) - (38) imply (29). D
)

Proof of Theorem 2. We may assume that n ~ 2 R 1 =c1(4,6) (see (25)) since otherwise

(1) is obtained by a proper choice of c(S,B).

Let Xj be the truncation of Xj at the level R=n ½ (see (22)) and let Pn
in^
be the distribution of Sn = n-=~Xj " Denoting

n
A. = {w: X. = )(.} A = C~ A.
J J J j=i J
we have
^
IPn(Sr(h))-Pn(Sr(h)) j ~ IP({S n c Sr(h)} hA) +P({Sn ~ Sr(h)} n A) I +P(A c)
n

~j~lP(A~ )
1
= nP(iXll~o~)
_1
_<Bn ~ . (39)
Note that
Elxi[ : IEX1XA1
= IEXI×A~I
Elxllx C
A1
< Bn"1 (4o)
 96

For the covariance operator V of X1 we have

(if,f) = E(XIXAI,f) 2 - (EX|×AI,f)2

E(Xl,f)2

(Vf,f) . (41)

Furthermore, since E(XI,f)×A| = - E(XI,f)x c we may write

Al

(Vf,f) - (Vf,f) = E(XI,f)2× c + ( E ( X I ' f ) X A I ) 2

AI
2E(XI 'f)2x c '
A1
and denoting {e.)
] an orthonormal basis in H we obtain
tr(V-V) ~ 2j~|E(X|,ej)2×A~

= 2EI×II2×A~
1
2an ~ (42)

Let now Y, Y' be two independent normal H-valued random v a r i a b l e s with

parameters (n½~,V), ( 0 , V - V) respectively, where ~ = EX t , Obviously the random

variable
y = y - n½~ + y'

is normal (0,V), i.e. Py = G. Furthermore, since

~^
{ Y e S (h)} : { Y ~ S ( h + n ~ - Y ' ) }
r F

and since f o r any h,h I E H, r > 0

Sr(h)ASr(hl ) c S r _ l h _ h l(h)2
;, Ih-hll'

applying Lemma l , ~] we have

t p y ( S r ( h ) ) - P~(Sr(h)) I = IP~(Sr(h+n~-^ _ y , ) ) _ p ~ ( S r ( h ) ) j

P~(Sr(h+n~ -y,)ASr(h))

fP~(Sr_n½1 (h) ) Py, (dy)

~j-iyl,2(~½1~J+iyl)
2c(9) (~ 7 +lhl)( n= ~I +EIY'I)
where
 97

~2 ~2 -½
j=3

and 812 _>02^2>-.. . are the eigenvalues of V. Since oj -<o.,j j=l,2,. .. (this follows

from the mini-max property of the eigenvalues), (24') implies

c(~/) -< c 1(S) = (4/3)~ilo21 jFT3 ( 1 - ~zoj/.toj)

2 ~ 2,-½ .

Moreover by (40)
];I <- ~n -I

and by (42)
E[¥'I ~< (EI¥'[2) ~

-< (tr(V- ~/))½

I _ .

-< (2B)% ¼
Thus
1Py(Sr(h)) - P~f(Sr(h)) I <- c(S,B)(1 +Ihj)n -¼ (43)

NOW (39) and (43) reduce the proof of the theorem to the estimation of

[Pn(Sr(h)) - Pg(Sr(h))l.
Applying Lemma 8 we may write

tPn(Sr(h))-P~(Sr(h))j-< tPn(Sr(h))-P~(Sy r(h))t

1

+ C(B,O)(I +lhl)n -~ ; (44)

i n
here Pn is the distribution of n -~ ~ X] , where X. have the same distribution
I J
(27) constructed starting with P=Px. and with R l =ci(4,13) (see (25)) ~ R = n ~.
J
To estimate

Dn
= sup
r_>O
[Pn(Sr(h)) - P~(Sr(h)) [
~
we use the same method as in the proof of Lemma 5. Let P(n) be the distribution
I~ 1
~n
of n ~X l and G(n ) be the normal (n-~p, n-Iv) distribution, so that Pn=P(n),
= ~n
Py (n)" We have
_ p., = ~n ~n

n y P(n) - G(n)
n-I
= (P(n) - G(n) ) "~ Z. o ~" " G(n )
 98

and, since
~n-j-I
(n) is normal
'
((n -j -l)n-~, (n-j -l)n-
]~)

fexp{~tlh+ × + zJ2}Qn-j-l(dz) = g(t,h + x + (n - j -l)n-½~, (n - j -l)n'Iv).

n
Hence denoting
g2,j(k) = g(t,h+kx+y+ (n- j -l)n-½~, (n-j -l)nIIv)

we may write
dn(t) = fexp{itjh +xi2}(Pn- P )(dx)

= ffg2,j(l)(P(n) - G(n) ) (dx)P~n) (dy)

n-I
Z J.- (4s)
j=O J
Using (4) and observing that P(n) and G(n) have the same first and second moments
(recall that i. and X. have the same first, second and even third moments) we
J J
have
IJjJ-< (I/6)F~O<k_<l
sup Ig~"j(k)[ (P(n) +G(n))(dx)Pin)(dY) ' (46)

Furthermore by Lemma 2

^,,,j (k)l < c[Itl3(]h+y+(n-j -l)n-½~I3]xI3+Ixl 6)

sup lg2, (47)
O~l
+ t2(]h + y + (n -j -,)n-~]IxF 3 +I×j 4)]]g(t,O,(n-j-l)n'IV)l .

App|ying Lemma 7 we have for s~3

fl×]S~(n)(d×) = n-S/2flxiS~(d×)
c(s)Bn -3/2. (48)

Denoting Yl a normal (O,V) random variab]e and using (8) we also have

flxlS~(n)(dx) = n-S/2EiYl +~!s

< c(s)n-Sl2(EJYiIS+I~I s)

c(s)n-S/2((EIYiI2) s/2 + EIXI Is)

= C(s)n-S/2((EIXI-~12) S/2+EIXI Is)

c(s)n-S/2(EtX ] -~I s +EIXlt s)

c(s)n-S/2EIxIIs

c(s)Bn -3/2 (49)

Now
 99

flh+y+ (n- j -1)n _1~13P(J)(dY)n = EIh + (n-l)n _1^

~u +n -~1 i
(Xi -~)13
1

< c ( s ) ( l + [hp 3 + n-3/2Eli(Xi -~)13),

l
since (cf. (40), (41))

n-½EIXll 2
1
n ~trV.

Furthermore
El i (xi-~)13 -< (El i ()(i-~)14)3/4
l I

= (E( i (Xi-~)' i (i i _~))2)3/4

I I

c(jEli I -514+j2(Elil-~12)2) 3/4

EIx 1 -GI 2 = trV

-< t r Y
and by Lemma 7
EtY<1 -~l 4 _< c~:lX114
1
_< cBn ~ ,

so that
J
El ~ ()(i "~)13 5 c(!3 + (tr V)2)3/4n 3/2
1
Consequently
i
[lh+y+(n-j-1)n =~I3P(J)(dy)
n
< c(S,~)(l+lhl) 3 . (5O)

From (45) - (50) we deduce

n-1
dn(t) I < c(S,6)(1 +lhl)3t2(I +ltl)n -3/2 Ig(t,O, (n-j -1)n-l~)l
j=o

and similarly to (19) we may write (see Lemma 6)

n-l n-1
Ig(t,O,(n-j-1)n-l{oI = I + Ig(jn'It,o,~/)I
j=o j=l

<-1+ nf~n- l) n-l, g (ut,O,~/) I du

m
<_1 + ~t -I
r Ig(~,o,~) Id~

_< 1 + c(S)nt -1
 100

Hence
Idn(t) I ~ c(S,~)(1 + Ihl)3t2(1 + [tl)(1 + n t ' l ) n -3/2 (51)

On the other hand by Lemmas 1,6,8

Idn(t) I ~ c(S)(l + t2) -l + exp{ - c'n}. (52)

By Corollary l and Lemma 6 the random variable Ih+YI 2 has a density bounded by

C(Ol,O2,o3). Thus to estimate Dn we can apply Esseen's inequality which together

with (51), (52) for any Q,T,I < Q< T gives

Dn ~ c ( I ~ ! d n ( t ) I t - l d t + c ( S ) T - l )

c(S,~)(l + lhI)3n-3/21 Qt(l + t ) ( l + n t - l ) d t

~0
+ c(S)( t-3dt+T -1) +cT exp{-c'n}
Q
~ c(S,g)[(1 +]hl)3(Q3n -3/2+Q2n-½)

+ Q-2 +T-l +T e×p{-c'n}] . (53)

Assuming that
(I +lhl)3/2n -¼ ~ I (54)

we may put in (53) Q = (I +lhl) -3/4 n I/8 , T = n ½ and thus obtain

D n ~ c(S,~)(~ + lhl)3/2n -¼

This proves the Theorem in the case (54). If (54) is not satisfied the Theorem is

obviously true.

Comments on Chapter II

The problem of estimation of the accuracy of normal approximation on balls with

a fixed centre provided by the central limit theorem in Hilbert space was first

considered in a special case by N.P. Kandelaki [16] (see also [44]) then by V.V.

SazOnov [33] (in [33] the logarithmic speed of Kandelaki was improved to n-I/6+e,~>O).

Later a considerable progress was made by J. Kuelbs and T. Kurtz [|8], who obtained

the speed n -I/6+~, e> O, under general moment conditions. The results of [18]

were generalized and made more precise by V. Paulauskas [28]~ V.M. Zolotarev [46],

V.V. Ulyanov [42,43] and others. The proof of Theorem I,§I given in the lectures
 101

uses a variant of the method of compositions and is based on the ideas of J. Kueibs

and T. Kurtz with modifications due to V. Paulauskas and V.V. Ulyanov. In the proof

we avoided Frechet derivatives (like J. Kuelbs and T. Kurtz in [18]) to make the

presentation more elementary. Theorem |,~2 belongs to V.V, Yurinskii [45]. Under

additional assumptions (e.g. the independence of the components of Xl in some basis)

bounds with better speeds are also known (see e.g. [24,12]). In 47 F. G~tze obtained

the speed n assuming only E~X|I < ~

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 In dex

Berry-Esseen theorem, I

generalizations and improvements of, 8

Central limit theorem

in ~ , I

in ~ , 69

Estimate in Hilbert space of order ~-'/~,82

A
Estimate of integral type in ~ , 40

Estimates in terms of pseudomoments

in Hilbert space, 70

nonuniform in ~ , 26

of integral type in R , 67

uniform in ~k , 11

Method of

characteristic functions, an illustration of, I

compositions, an illustration of, I

Polynomials

, 5o

, 5o,51

Pseudomoments, 9, 11

Smoothness lemma

in ~ , 2

in ~& , 18, 27

in Hilbert space, 73