Rates of convergence in the central limit theorem for linear statistics of martingale differences (Q544503): Difference between revisions
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Property / author: Jérôme Dedecker / rank | |||
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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. | |||
Property / review text: 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. / rank | |||
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Property / reviewed by: Sreenivasan Ravi / rank | |||
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Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G42 / rank | |||
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Property / Mathematics Subject Classification ID: 60G10 / rank | |||
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Property / zbMATH DE Number: 5908022 / rank | |||
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central limit theorem | |||
Property / zbMATH Keywords: central limit theorem / rank | |||
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linear statistics | |||
Property / zbMATH Keywords: linear statistics / rank | |||
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martingale differences | |||
Property / zbMATH Keywords: martingale differences / rank | |||
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Zolotarev distance | |||
Property / zbMATH Keywords: Zolotarev distance / rank | |||
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Gaussian distribution | |||
Property / zbMATH Keywords: Gaussian distribution / rank | |||
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Revision as of 12:05, 1 July 2023
scientific article
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English | Rates of convergence in the central limit theorem for linear statistics of martingale differences |
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Rates of convergence in the central limit theorem for linear statistics of martingale differences (English)
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15 June 2011
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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.
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central limit theorem
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linear statistics
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martingale differences
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Zolotarev distance
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Gaussian distribution
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