A refined version of the integro-local Stone theorem

Abstract

Let $X, X_1, X_2,\ldots $ be a sequence of non-lattice i.i.d. random variables with ${\bf E} X=0,$ ${\bf E} X=1,$ and let $S_n:= X_1+ \cdots+ X_n$, $n\ge 1.$ We refine Stone's integro-local theorem by deriving the first term in the asymptotic expansion for the probability ${\bf P} \bigl(S_n\in [x,x+Δ)\bigr)$ with $x\in\mathbb R,$ $Δ>0,$ as $n\to\infty$ and establishing uniform bounds for the remainder term, under the assumption that the distribution of $X$ satisfies Cramér's strong non-lattice condition and ${\bf E} |X|^r<\infty$ for some $r\ge 3$.