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454概率中等derivationmedium

Berry-Esseen Bound for a Skewed Bernoulli Sum

题目

Let X1,X2,,XnX_1, X_2, \ldots, X_n be i.i.d.\ Bernoulli(p)\operatorname{Bernoulli}(p) with p=0.01p = 0.01 and n=10,000n = 10{,}000. Define Sn=i=1nXiS_n = \sum_{i=1}^{n} X_i.

(a) Using the CLT, approximate P(Sn80)P(S_n \le 80).

(b) The Berry-Esseen theorem states that supxP(Znx)Φ(x)Cρσ3n\sup_x |P(Z_n \le x) - \Phi(x)| \le \frac{C\,\rho}{\sigma^3 \sqrt{n}}, where Zn=(Snnμ)/(σn)Z_n = (S_n - n\mu)/(\sigma\sqrt{n}), ρ=E[X1μ3]\rho = E[|X_1 - \mu|^3], and C0.4748C \le 0.4748. Compute the Berry-Esseen bound on the approximation error in part (a).

You may use Φ(2)0.0228\Phi(-2) \approx 0.0228.

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你的答案

a

b