Closeness of convolutions of probability measures
We derive new explicit bounds for the total variation distance between two convolution products of n probability distributions, one of which having identical convolution factors. Approximations by finite signed measures of arbitrary order can be considered as well. We are interested in bounds with magic factors, i.e. roughly speaking n also appears in the denominator. Special emphasis is given to the approximation by the n-fold convolution of the arithmetic mean of the distributions under consideration. As an application, we consider the multinomial approximation of the generalized multinomial distribution. It turns out that here the order of some bounds given in Loh (1992) and Roos (2001) can significantly be improved. In particular, it follows that a dimension factor can be dropped. In the course of proof, we use a basic Banach algebra technique for measures on a measurable Abelian group. Though this method was already used by Le Cam (1960), our central arguments seem to be new. We also derive new smoothness bounds for convolutions of probability distributions, which might be of independent interest. It should be mentioned that Loh used Stein's method in a more general situation of dependent random variables. However, it seems to be unclear, whether Stein's method can be used to reproduce the results of the present paper.