Nonuniform bounds on the rate of convergence in the central limit theorem for martingales (Q2640986): Difference between revisions

Nonuniform bounds on the rate of convergence in the martingale central limit theorem are obtained, i.e., bounds of the form \[ | P(S_ n\leq x)-\Phi (x)| \leq f(x)A_ n, \] where \(S_ n\) is the sum of a martingale difference sequence \(X_ 1,...,X_ n\) and \(\Phi\) denotes the standard normal distribution function. The main result is for uniformly bounded \(X_ i's\), providing an optimal uniform rate \(A_ n\) and a nonuniform factor f(x) which converges to zero at an exponential rate as \(| x|\) gets large. As a consequence a bound for \(X_ i's\) with finite second moments is derived. This bound is sharp in \(A_ n\) and f(x).