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The relevant paper is "An estimate of the remainder in a combinatorial central limit theorem" by Erwin Bolthausen. I would like to understand the estimate on page three right before the sentence "where we used independence of $S_{n-1}$ and $X_n$":

\begin{align}E|f'(S_n) - f'(S_{n-1})| &\le E \bigg(\frac{|X_n|}{\sqrt{n}} \big(1 + 2|S_{n-1}| + \frac{1}{\lambda} \int_0^1 1_{[z,z+\lambda]} (S_{n-1} + t \frac{X_n}{ \sqrt{n}}) dt\big)\bigg) \\ &\le \frac{C}{\sqrt{n}} \big(1 + \delta(\gamma, n-1) / \lambda\big)\end{align}

that is, where $\delta(\gamma, n-1)/\lambda$ shows up, which is the error term in the Berry-Esséen bound. Since

Here $S_n = \sum_{i=1}^n X_i / \sqrt{n}$ and $X1, \ldots, X_n$ are iid with $E X_i =0$, $E X_i^2 = 1$, and $E|X_i|^3 = \gamma$. Furthermore, denote $\mathcal{L}_n$ to be the paper set of all sequences of $n$ random variables satisfying the above assumptions, then

$\delta(\lambda, \gamma,n) = \sup { |E(h_{z,\lambda} (S_n)) - \Phi(h_{z,\lambda})|: z \in \mathbb{R}, X_1, \ldots, X_n \in \mathcal{L}_n }$

and $h_{z, \lambda}(x) = ((1 + (z-x)/\lambda) \wedge 1) \vee 0$ and $\delta(\gamma, n)$ is freely online through springera short hand for $\delta(0,\gamma, n)$, and $h_{z,0}$ is interpreted as $1_{(-\infty, z]}$. I won't am mainly interested in verifying the second inequality, so I don't need to reproduce the context definition of $f$ here, but it is related to $h$.

This paper is freely available online through springer. thanks in advance.

# Stein's method proof of BerryEsseen'stheBerry-Esséen theorem

The relevant paper is "An estimate of the remainder in a combinatorial central limit theorem" by Erwin Bolthausen. I would like to understand why the estimate on page three right before the sentence "where we used independence of $S_{n-1}$ and $X_n$":

$$E|f'(S_n) \begin{align}E|f'(S_n) - f'(S_{n-1})| \le &\le E (|X_n|/\sqrt{n} (1 \bigg(\frac{|X_n|}{\sqrt{n}} \big(1 + 2|S_{n-1}| + 1/\lambda \frac{1}{\lambda} \int_0^1 1_{[z,z+\lambda]} (S_{n-1} + t X_n / \sqrt{n}) dt)frac{X_n}{ \sqrt{n}}) dt\big)\bigg) \le C/\sqrt{n} (1 \ &\le \frac{C}{\sqrt{n}} \big(1 + \delta(\gamma, n-1) / \lambda) lambda\big)\end{align} that is, where\delta(\gamma, n-1)/\lambda$shows up, which is the error term in the Berry-Esseen Berry-Esséen bound. Since the paper is freely online through springer, I won't reproduce the context here. thanks in advance. 2 deleted 20 characters in body The relevant paper is "An estimate of the remainder in a combinatorial central limit theorem" by Erwin Bolthausen. I would like to understand why the estimate on page three right before the sentence "where we used independence of$S_{n-1}$and$X_n":\begin{align*} E|f'(S_n) - f'(S_{n-1})| \le E (|X_n|/\sqrt{n} (1 + 2|S_{n-1}| + 1/\lambda \int_0^1 1_{[z,z+\lambda]} (S_{n-1} + t X_n / \sqrt{n}) dt)) \le C/\sqrt{n} (1 + \delta(\gamma, n-1) / \lambda) \end{align*} that is, where\delta(\gamma, n-1)/\lambda\$ shows up, which is the error term in the Berry-Esseen bound. Since the paper is freely online through springer, I won't reproduce the context here. thanks in advance.

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