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Teoriya Veroyatnostei i ee Primeneniya, 1998, Volume 43, Issue 4, Pages 692–710
DOI: https://doi.org/10.4213/tvp2016
(Mi tvp2016)
 

This article is cited in 6 scientific papers (total in 6 papers)

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

Y. Rinotta, V. I. Rotar'b

a Mathematics Department, UCSD, CA
b Central Economics and Mathematics Institute, RAS
Abstract: 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 $\mathsf{E}\{X_{m}^2\mid X_{1}\ldots X_{m-1}\}=\mathsf{E}X_{m}^2$, 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, martingales, rate of convergence.
Received: 12.08.1997
English version:
Theory of Probability and its Applications, 1999, Volume 43, Issue 4, Pages 604–619
DOI: https://doi.org/10.1137/S0040585X97977148
Bibliographic databases:
Language: Russian
Citation: Y. Rinott, V. I. Rotar', “Some bounds on the rate of convergence in the CLT for martingales. I”, Teor. Veroyatnost. i Primenen., 43:4 (1998), 692–710; Theory Probab. Appl., 43:4 (1999), 604–619
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
\yr 1999
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\issue 4
\pages 604--619
\crossref{https://doi.org/10.1137/S0040585X97977148}
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  • https://www.mathnet.ru/eng/tvp/v43/i4/p692
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    This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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