New estimates of the convergence rate in the Lyapunov theorem

Abstract

We investigate the convergence rate in the Lyapunov theorem when the third absolute moments exist. By means of convex analysis we obtain the sharp estimate for the distance in the mean metric between a probability distribution and its zero bias transformation. This bound allows to derive new estimates of the convergence rate in terms of Kolmogorov's metric as well as the metrics ${\zeta }_r$ (r=1,2,3) introduced by Zolotarev. The estimate for ${\zeta }_3$ is optimal. Moreover, we show that the constant in the classical Berry-Esseen theorem can be taken as 0.4785. In addition, the non-i.i.d. analogue of this theorem with the constant 0.5606 is provided.

19 pages, 1 figure

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