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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 4, Pages 800–818 (Mi tvp1233)  

This article is cited in 101 scientific papers (total in 101 papers)

On the rate of convergence in the central limit theorem for weakly dependent random variables

A. N. Tihomirov

Syktyvkar
Abstract: Let $X_1,X_2,\dots$ be a stationary sequence of random variables with $\mathbf EX_1=0$, $\mathbf E|X_1|^3<\infty$. Let
\begin{gather*} \sigma^2_n=\mathbf E\biggl(\sum_{j=1}^n X_j\biggr)^2,\qquad F_n(x)=\mathbf P\biggl\{\sigma_n^{-1}\sum_{j=1}^n X_j<x\biggr\}, \\ \Phi(x)=(2\pi)^{-1/2}\int_{-\infty}^x e^{-y^2/2}\,dy,\qquad \Delta_n=\sup|F_n(x)-\Phi(x)|. \end{gather*}
We prove that if the sequence $X_n$ satisfies a strong mixing condition and if its mixing coefficient decreases exponentially then
$$ \Delta_n=O(n^{-1/2}\ln^2n). $$
For the case of $m$-dependent variables we prove that
$$ \Delta_n=O(m^2n^{-1/2}). $$
Received: 18.01.1979
English version:
Theory of Probability and its Applications, 1981, Volume 25, Issue 4, Pages 790–809
DOI: https://doi.org/10.1137/1125092
Bibliographic databases:
Language: Russian
Citation: A. N. Tihomirov, “On the rate of convergence in the central limit theorem for weakly dependent random variables”, Teor. Veroyatnost. i Primenen., 25:4 (1980), 800–818; Theory Probab. Appl., 25:4 (1981), 790–809
Citation in format AMSBIB
\Bibitem{Tik80}
\by A.~N.~Tihomirov
\paper On the rate of convergence in the central limit theorem for weakly dependent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1980
\vol 25
\issue 4
\pages 800--818
\mathnet{http://mi.mathnet.ru/tvp1233}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=595140}
\zmath{https://zbmath.org/?q=an:0471.60030|0448.60019}
\transl
\jour Theory Probab. Appl.
\yr 1981
\vol 25
\issue 4
\pages 790--809
\crossref{https://doi.org/10.1137/1125092}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1980MK50200010}
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  • https://www.mathnet.ru/eng/tvp/v25/i4/p800
  • This publication is cited in the following 101 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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