On the accuracy of the approximation of the complex exponent by the first terms of its Taylor expansion with applications

Abstract

A new bound for the remainder term in the Taylor expansion of the complex exponent $e^{ix}$, $x\in\R$, is proved yielding precise moment-type estimates of the accuracy of the approximation of the characteristic function (the Fourier--Stieltjes transform) of a probability distribution by the first terms of its Taylor expansion. Moreover, a precise upper bound for the third moment of a probability distribution in terms of the absolute third moment is established which sharpens Jensen's inequality. Based on these results, new improved bounds for characteristic functions and their derivatives are obtained that are {\it uniform} in the class of distributions with fixed first three moments.