On the necessity of the Lindeberg condition for the normal convergence of martingales (Q1566447)

The author considers the central limit theorem for a sequence of square-integrable martingales \(S_{n,k},\) \(0\leq k\leq k_n,\) \(S_{n,0}=0\). It is proved that the ``conditional'' Lindeberg condition follows from the normal convergence of sums \(S_{n,k}\) under some conditions. The result is related to the one obtained by \textit{A. G. Sholomitskij} [Theory Probab. Appl. 43, 434-448 (1998); translation from Teor. Veroyatn. Primen. 43, 490-508 (1998; Zbl 0954.60016)]. The conditions in both results are different.