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arxiv: 1110.3627 · v3 · pith:2QA7ZDIYnew · submitted 2011-10-17 · 🧮 math.ST · math.PR· stat.TH

A sharpening of Tusn\'ady's inequality

classification 🧮 math.ST math.PRstat.TH
keywords vepsinequalitydistributionrandomtusndeterminedequalsfirst
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Let ~$\veps_1, ..., \veps_m$ be i.i.d. random variables with $$P(\veps_i=1)= P(\veps_i= -1)=1/2,$$ and $X_m = \sum_{i=1}^m \veps_i.$ Let $Y_m $ be a normal random variable with the same first two moments as that of $X_m.$ There is a uniquely determined function $\Psi_m$ such that the distribution of $\Psi_m(Y_m)$ equals to the distribution of $X_m$. Tusn\'ady's inequality states that $$ \mid \Psi_m(Y_m) - Y_m \mid \leq \frac{Y_m^2}{m}+1.$$ Here we propose a sharpened version of this inequality.

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