An approximation for the error of the normal approximation to a linear combination of independently distributed random variables

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Abstract

A new approximation introduced elsewhere is employed to approximate the error associated with the central limit approximation. In particular, the respective error obtained on approximating a linear combination of n independently distributed random variables (Sn) is examined, and it is shown that the unstandardized error is approximately independent of n. Two examples, for a discrete and for a continuous Sn, demonstrate that if a correction term, based on the above error approximation, is added to the traditional central limit approximation a remarkable improvement of accuracy ensues. Some implications of the new approximation are probed.

Original languageEnglish
Pages (from-to)242-246
Number of pages5
JournalIIE Transactions (Institute of Industrial Engineers)
Volume20
Issue number3
DOIs
StatePublished - 1 Jan 1988
Externally publishedYes

ASJC Scopus subject areas

  • Industrial and Manufacturing Engineering

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