Berry-Esseen theorems under weak dependence

DOI10.1214/15-AOP1017MaRDI QIDQ726800zbMATH OpenOpenAlexFDO

Authors Moritz Jirak

Publication date 14 July 2016

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.01617, https://projecteuclid.org/euclid.aop/1463410038

zbMATH Keywords

central limit theoremweak dependencemoment convergenceBerry-Esseen theoremscausal stationary processesnonuniform bounds

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) (L^p)-limit theorems (60F25)

Abstract: Let ${X_k}_{kgeqmathbbZ}$ be a stationary sequence. Given $pin(2,3]$ moments and a mild weak dependence condition, we show a Berry-Esseen theorem with optimal rate $n^{p/2-1}$. For $pgeq4$, we also show a convergence rate of $n^{1/2}$ in $mathcal{L}^q$-norm, where $qgeq1$. Up to $logn$ factors, we also obtain nonuniform rates for any $p>2$. This leads to new optimal results for many linear and nonlinear processes from the time series literature, but also includes examples from dynamical system theory. The proofs are based on a hybrid method of characteristic functions, coupling and conditioning arguments and ideal metrics.

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