Berry-Esseen中心极限定理

Berry-Essee中心极限定理

令$s_1,\text{...},s_n$为一组独立的零均值随机变量，假设其二阶矩$\mathbb{E}[s_i^2]=1$，三阶矩有界$\mathbb{E}[|s_i{|}^3]\le C$（$C$与$i$独立），则对任意可微的有界函数$\varphi (x)$，其一阶导也有界，则
$$\mathbb{E}[\varphi (\frac{s_1+s_2+\text{...}+s_n}{\sqrt{n}})]=\mathbb{E}[\varphi (G)]+\mathcal{O}(\frac{C}{\sqrt{n}}(1+\sup |{\varphi }^{{}^{\prime }}(x)|))$$

其中$G\sim \mathcal{N}(0,1)$。

证明：令$Z_n=\frac{s_1+s_2+\text{...}+s_n}{\sqrt{n}}$，给定$\varphi (x)$，定义$\varphi (x)$的Stein变换为
$$T_{\varphi }(x)=e^{\frac{x^2}{2}}{\int }_{-\infty }^x{e}^{-\frac{y^2}{2}}(\varphi (y)-\mathbb{E}[\varphi (G)])\text{d}y$$

$T_{\varphi }(x)$满足

$$\{\begin{array}{rl}& \exists M1>0,T_{\varphi }(x)<M1\forall x\\ & \exists M2>0,T_{\varphi }^{{}^{\prime }}(x)<M2\forall x\\ & \underset{x}{\sup }{T}_{\varphi }^{{}^{\prime \prime }}(x)\le \underset{x}{\sup }{T}_{\varphi }^{{}^{\prime }}(x)\end{array}$$

可以验证，

$$T_{\varphi }^{{}^{\prime }}(x)=x{T}_{\varphi }(x)+(\varphi (x)-\mathbb{E}[\varphi (G)])$$

所以

$$\mathbb{E}[T_{\varphi }^{{}^{\prime }}(Z_n)-Z_n{T}_{\varphi }(Z_n)]=\mathbb{E}[\varphi (Z_n)-\varphi (G)]$$

定义$Z_i=Z_n-\frac{s_i}{\sqrt{n}}$，后面经过一些列推导，如下

因此

$$\mathbb{E}[\varphi (Z_n)-\varphi (G)]\le \frac{4}{\sqrt{n}}\sup |{\varphi }^{{}^{\prime }}(x)|$$

即，当$n\to \infty$时，$\varphi (Z_n)\to \varphi (G),G\sim \mathcal{N}(0,1)$。