Some bounds on the rate of convergence in the CLT for martingales. I

Y. Rinott*, V. Rotar

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This paper concerns rates of convergence in the central limit theorem (CLT) for the random variables Sn = ∑n1 Xm, where Xm are martingale-differences. It is known that in the general case one cannot hope for a rate better than O(n-1/8) even if the third moments are finite. If the conditional variances satisfy E{X2m, | X1i , . . . , Xm-1} = EX2m, the rate in general is no better than O(n-1/4}, while in the independency case it is of the order O(n-1/2). This paper contains a bound which covers simultaneously the cases mentioned as well as some intermediate cases. The bound is presented in terms of some dependency characteristics reflecting the influence of different factors on the rate.

Original languageEnglish
Pages (from-to)604-619
Number of pages16
JournalTheory of Probability and its Applications
Volume43
Issue number4
DOIs
StatePublished - Dec 1998
Externally publishedYes

Keywords

  • Central limit theorem
  • Martingales
  • Rate of convergence

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