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Normal approximation for nonlinear statistics using a concentration inequality approach

Abstract

Let TT be a general sampling statistic that can be written as a linear statistic plus an error term. Uniform and non-uniform Berry--Esseen type bounds for TT are obtained. The bounds are the best possible for many known statistics. Applications to U-statistics, multisample U-statistics, L-statistics, random sums and functions of nonlinear statistics are discussed.

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