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Nonasymptotic and distribution-uniform Komlós-Major-Tusnády approximation

Waudby-Smith, Ian et al.
arXiv (All) · Papers
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probabilitystatistics-theory
We present nonasymptotic concentration inequalities for sums of independent and identically distributed random variables that yield asymptotic strong Gaussian approximations of Komlós, Major, and Tusnády (KMT) [1975,1976]. The constants appearing in our inequalities are either universal or explicit,
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