On the Rotar central limit theorem for sums of a random number of independent random variables

Abstract

The Rotar central limit theorem is a remarkable theorem in the non-classical version since it does not use the condition of asymptotic infinitesimality for the independent individual summands, unlike the theorems named Lindeberg's and Lindeberg-Feller's in the classical version. The Rotar central limit theorem generalizes the classical Lindeberg-Feller central limit theorem since the Rotar condition is weaker than Lindeberg's. The main aim of this paper is to introduce the Rotar central limit theorem for sums of a random number of independent (not necessarily identically distributed) random variables and the conditions for its validity. The order of approximation in this theorem is also considered in this paper.