Rényi divergence and the central limit theorem

preprint2016arXivOpen access

Abstract

We explore properties of the χ2χ^2 and more general Rényi (Tsallis) distances to the normal law. In particular we provide necessary and sufficient conditions for the convergence to the normal law in the central limit theorem using these distances. Moreover, we derive exact rates of convergence in these distances with respect to an increasing number of summands.

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