A local limit theorem for unequally distributed random variables
Teoriâ veroâtnostej i ee primeneniâ, Tome 13 (1968) no. 2, pp. 348-351
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Let $\xi_1,\dots,\xi_n$ be a sequence of independent random variables. Form another sequence $$ \eta_n=\frac{\xi_1+\dots+\xi_n}{B_n}-A_n.\eqno(1) $$ Suppose that for any $n$ $\xi_n$ has one of $\tau$ absolutely continuous distributions $$ F_1(x),F_2(x),\dots,F_\tau(x) $$ The following assertion is proved. For the sequence of the densities $p_n(x)$ of the sums (1) to converge uniformly to the density of a limit law for some $B_n>0$, $A_n$ it is necessary and sufficient that 1. $\mathbf P\{\eta_n weakly ($G$ is the limit law). 2. There exists such an $N$ that $p_N(x)$ is bounded.