Berry-Esseen Bound for a Sum of Uniform Random Variables
题目
Let U1,…,Un be i.i.d.\ Uniform(0,1) and Sn=∑i=1nUi. The Berry-Esseen theorem states
xsupP(σnSn−n/2≤x)−Φ(x)≤σ3nCρ,
where σ2=Var(Ui), ρ=E[∣Ui−1/2∣3], and C≤0.4748.
(a) Compute ρ=E[∣Ui−1/2∣3] exactly.
(b) Evaluate the Berry-Esseen bound for n=50.
(c) How large must n be for the bound to guarantee the CLT error is below 0.01?