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Tusnady’s lemma, 24 years later. (English) Zbl 1016.60037

As for the coupling between a binomial random variable \(B_n\) with parameter \((n,1/2)\) and a normal random variable \(Y\) the author establishes the following inequality: \[ \left|B_n-{n\over 2}-{\sqrt n\over 2}Y\right |\leq {3\over 4}+ {Y^2\over 8}. \] The constant \(\frac 34\) in the right hand side of the above inequality improves on the constant 1 appearing in Tusnády’s original inequality [cf. J. Bretagnolle and P. Massart, Ann. Probab, 17, No. 1, 239-256 (1989; Zbl 0667.60042)].

MSC:

60F99 Limit theorems in probability theory
60F17 Functional limit theorems; invariance principles
62G30 Order statistics; empirical distribution functions

Citations:

Zbl 0667.60042
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