Normal approximation for hierarchical structures (Q1769419)

Normal limit is proved for the sequence \(X_{n}\) determined by the recursion \(X_{n+1}=\alpha_{n}X_{n}+Z_{n}\) where \(Z_{n}\) is a small perturbation. It is shown that the normal convergence of the hierarchical sequence holds with exponential bound under mild conditions. The result is related to zero bias and to the Wasserstein distance.