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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 4, Pages 800–818
(Mi tvp1233)
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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
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
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https://www.mathnet.ru/eng/tvp1233 https://www.mathnet.ru/eng/tvp/v25/i4/p800
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