Another Esséen-type inequality for multivariate probability density functions

B. L. S. Prakasa Rao

Statistics & Probability Letters, 2002, vol. 60, issue 2, 191-199

Abstract: An upper bound for the supremum of the absolute value of the difference of two multivariate probability density functions is obtained. The upper bound involves integrals of the absolute value of suitable transforms of the characteristic functions of the probability density functions. Results are similar to the work of Gamkrelidze (Theory Probab. Appl. 22 (1977) 877-880) on the Esséen's inequality for multidimensional distribution functions.

Keywords: Esséen-type; inequality; Multivariate; probability; density; functions (search for similar items in EconPapers)
Date: 2002
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