Abstract
The Poincare constant R-Y of a random variable Y relates the L-2(Y)-norm of a function g and its derivative g'. Since R-Y - D(Y) is positive, with equality if and only if Y is normal; it can be seen as a distance from the normal distribution. In this paper we establish the best possible rate of convergence of this distance in the central limit theorem. Furthermore, we show that R-Y is finite for discrete mixtures of normals, allowing us to add rates to the proof of the central limit theorem in the sense of relative entropy.
| Translated title of the contribution | Convergence of the Poincare constant |
|---|---|
| Original language | English |
| Pages (from-to) | 535 - 541 |
| Number of pages | 7 |
| Journal | Theory of Probability and its Applications |
| Volume | 48 (3) |
| DOIs | |
| Publication status | Published - 2003 |