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A sharpening of Tusnády's inequality

Abstract

Let ~\veps1,...,\vepsm\veps_1, ..., \veps_m be i.i.d. random variables with P(\vepsi=1)=P(\vepsi=1)=1/2,P(\veps_i=1)= P(\veps_i= -1)=1/2, and Xm=i=1m\vepsi.X_m = \sum_{i=1}^m \veps_i. Let $Y_m $ be a normal random variable with the same first two moments as that of Xm.X_m. There is a uniquely determined function Ψm\Psi_m such that the distribution of Ψm(Ym)\Psi_m(Y_m) equals to the distribution of XmX_m. Tusn\ády's inequality states that Ψm(Ym)YmYm2m+1. \mid \Psi_m(Y_m) - Y_m \mid \leq \frac{Y_m^2}{m}+1. Here we propose a sharpened version of this inequality.

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