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Teoriya Veroyatnostei i ee Primeneniya, 1982, Volume 27, Issue 1, Pages 3–14
(Mi tvp2241)
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This article is cited in 13 scientific papers (total in 13 papers)
On the rate of convergence in the central limit theorem for semimartingales
R. Š. Lipñer, A. N. Širyaev Moscow
Abstract:
Let $(X^n)_{n\ge 1}$ be a family of semimartingales with the canonical representation (1). Under the conditions (À), (Â), (C) the central limit theorem is valid:
$$
R_t^n=\sup_x\biggl|\mathbf P\{X_t^n\le x\}-\Phi\biggl(\frac{x}{\sqrt V_t}\biggr)\biggr|\to0,\qquad n\to\infty.
$$
We give the estimates (3)–(6) for the rate of convergence of $R_t^n$ in the cases when $(X^n)_{n\ge 1}$ are families of semimartingales, local martingales and local square integrable martingales.
Received: 08.10.1981
Citation:
R. Š. Lipñer, A. N. Širyaev, “On the rate of convergence in the central limit theorem for semimartingales”, Teor. Veroyatnost. i Primenen., 27:1 (1982), 3–14; Theory Probab. Appl., 27:1 (1982), 1–13
Linking options:
https://www.mathnet.ru/eng/tvp2241 https://www.mathnet.ru/eng/tvp/v27/i1/p3
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