On the rate of convergence in the martingale CLT (Q1892952)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the rate of convergence in the martingale CLT |
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On the rate of convergence in the martingale CLT (English)
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20 May 1996
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Let \(\{X_i: i\geq 1\}\) be a sequence of martingale differences with values in a Banach space. The author provides bounds for Kantorovich and Prokhorov metrics between distributions of \(\sum^n_{i= 1} X_i/\sqrt n\), \(n\geq 1\), and a corresponding Gaussian distribution.
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martingale differences
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Banach space
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Gaussian approximation
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rate of convergence
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