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Define the corresponding matrix for the increment \\(\\Delta M^n_k\\) and denote it by \\(Q^n_k\\). The first results of the paper consider the approximation of the positive definite matrix \\(Q\\) with the help of the matrices \\(Q^n_k\\) and the approximation of the martingale sequence \\(M^n\\) with another martingale sequence \\(\\widehat M^n\\) which has covariance matrix equal to \\(Q\\) and the jumps of \\(\\widehat M^n\\) can be controlled with the difference \\(|Q - \\sum_k Q^n_k |\\) and the jumps of the original martingale sequence \\(M^n\\). The approximation results are used to obtain some rates of convergence results for vector valued martingales, which are quite natural in this 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