Some bounds on the rate of convergence in the CLT for martingales. II
Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 3, pp. 573-588
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This paper concerns rates of convergence in the central limit theorem (CLT) for the random variables $S_{n}=\sum_{1}^{n}X_{m}$, where $X_{m}$ 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 ${\mathbf E}\{X_{m}^2 | X_{1},\ldots, X_{m-1}\}={\mathbf E} X_{m}^2$, 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.
Keywords:
central limit theorem, rate of convergence.
Mots-clés : martingales
Mots-clés : martingales
@article{TVP_1999_44_3_a4,
author = {I. Rinott and V. I. Rotar'},
title = {Some bounds on the rate of convergence in the {CLT} for {martingales.~II}},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {573--588},
year = {1999},
volume = {44},
number = {3},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1999_44_3_a4/}
}
I. Rinott; V. I. Rotar'. Some bounds on the rate of convergence in the CLT for martingales. II. Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 3, pp. 573-588. http://geodesic.mathdoc.fr/item/TVP_1999_44_3_a4/