Rates of convergence in the central limit theorem for linear statistics of martingale differences (Q544503): Difference between revisions

The authors obtain upper bounds for the Zolotarev distance of order \(r\) between normalized linear statistics of a strictly stationary sequence of square integrable martingale differences and its limiting normal distribution. The bounds are then applied to linear processes with martingale difference innovations, linear processes with long range dependence and to parametric regression model with martingale difference errors.