An Error Term in the Central Limit Theorem for Sums of Discrete Random Variables

Abstract

Abstract We consider sums of independent identically distributed random variables whose distributions have $d+1$ atoms. Such distributions never admit an Edgeworth expansion of order $d$, but we show that for almost all parameters the Edgeworth expansion of order $d-1$ is valid and the error of the order $d-1$ Edgeworth expansion is typically of order $n^{-d/2}.$