Refined normal approximations for the central and noncentral chi-square distributions and some applications
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In this paper, we prove a local limit theorem for the chi-square distribution with r > 0 degrees of freedom and noncentrality parameter λ≥ 0. We use it to develop refined normal approximations for the survival function. Our maximal errors go down to an order of r^-2, which is significantly smaller than the maximal error bounds of order r^-1/2 recently found by Horgan Murphy (2013) and Seri (2015). Our results allow us to drastically reduce the number of observations required to obtain negligible errors in the energy detection problem, from 250, as recommended in the seminal work of Urkowitz (1967), to only 8 here with our new approximations. We also obtain an upper bound on several probability metrics between the central and noncentral chi-square distributions and the standard normal distribution, and we obtain an approximation for the median that improves the lower bound previously obtained by Robert (1990).
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