The method of cumulants for the normal approximation

Abstract

The survey is dedicated to a celebrated series of quantitave results, developed by the Lithuanian school of probability, on the normal approximation for a real-valued random variable. The key ingredient is a bound on cumulants of the type |κj(X)| ≤ j!1+γ/∆j−2, which is weaker than Cramér’s condition of finite exponential moments. We give a self-contained proof of some of the “main lemmas” in a book by Saulis and Statulevičius (1989), and an accessible introduction to the Cramér-Petrov series. In addition, we explain relations with heavy-tailed Weibull variables, moderate deviations, and mod-phi convergence. We discuss some methods for bounding cumulants such as summability of mixed cumulants and dependency graphs, and briefly review a few recent applications of the method of cumulants for the normal approximation. Mathematics Subject Classification 2020: 60F05; 60F10; 60G70; 60K35.