
arXiv: 2102.01459
The survey is dedicated to a celebrated series of quantitave results, developed by the Lithuanian school of probability, on the normal approximation for a real-valued random variable. The key ingredient is a bound on cumulants of the type $|κ_j(X)| \leq j!^{1+γ} /Δ^{j-2}$, which is weaker than Cramér's condition of finite exponential moments. We give a self-contained proof of some of the "main lemmas" in a book by Saulis and Statulevičius (1989), and an accessible introduction to the Cramér-Petrov series. In addition, we explain relations with heavy-tailed Weibull variables, moderate deviations, and mod-phi convergence. We discuss some methods for bounding cumulants such as summability of mixed cumulants and dependency graphs, and briefly review a few recent applications of the method of cumulants for the normal approximation.
Minor changes and added references in the introduction
heavy-tailed variables, 60F05, 60F10, 60G70, Probability (math.PR), Central limit and other weak theorems, Interacting random processes; statistical mechanics type models; percolation theory, large and moderate deviations, central limit theorems, Extreme value theory; extremal stochastic processes, Large deviations, Berry-Esseen theorems, cumulants, FOS: Mathematics, Mathematics - Probability
heavy-tailed variables, 60F05, 60F10, 60G70, Probability (math.PR), Central limit and other weak theorems, Interacting random processes; statistical mechanics type models; percolation theory, large and moderate deviations, central limit theorems, Extreme value theory; extremal stochastic processes, Large deviations, Berry-Esseen theorems, cumulants, FOS: Mathematics, Mathematics - Probability
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