A dichotomy for CLT in total variation

preprint2016arXivOpen access

Abstract

Let ηiη_i, i≥1i\ge 1, be a sequence of independent and identically distributed random variables with finite third moment, and let ΔnΔ_n be the total variation distance between the distribution of Sn:=∑i=1nηiS_n:=\sum_{i=1}^nη_i and the normal distribution with the same mean and variance. In this note, we show the dichotomy that either Δn=1Δ_n=1 for all nn or Δn=O(n−1/2)Δ_n=O\left(n^{-1/2}\right).

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