Bounds for the accuracy of invalid normal approximation
Volume 169 / 2022
Abstract
In applied probability, normal approximation is often used for the distribution of data with assumed additive structure. This tradition is based on the central limit theorem for sums of (independent) random variables. However, it is practically impossible to check the conditions providing the validity of the central limit theorem when the observed sample size is limited. Therefore it is important to know what the real accuracy of the normal approximation is in the cases where it is used despite it is theoretically inapplicable. Moreover, in some situations related to computer simulation, if the distributions of separate summands in the sum belong to the domain of attraction of a stable law with characteristic exponent less than 2, then the observed distance between the distribution of the normalized sum and the normal law first decreases as the number of summands grows and begins to increase only when the number of summands becomes large enough. In the present paper an attempt is undertaken to give some theoretical explanation of this effect.
