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 vertical bar kappa(j)(X)vertical bar <= j!(1+gamma)/Delta(j-2), which is weaker than Cramer's condition of finite exponential moments. We give a self-contained proof of some of the ``main lemmas'' in a book by Saulis and StatuleviCius (1989), and an accessible introduction to the Cramer-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.