Nonuniform bounds on the rate of convergence in the central limit theorem for martingales (Q2640986)

Nonuniform bounds on the rate of convergence in the martingale central limit theorem are obtained, i.e., bounds of the form \[ | P(S_ n\leq x)-\Phi (x)| \leq f(x)A_ n, \] where \(S_ n\) is the sum of a martingale difference sequence \(X_ 1,...,X_ n\) and \(\Phi\) denotes the standard normal distribution function. The main result is for uniformly bounded \(X_ i's\), providing an optimal uniform rate \(A_ n\) and a nonuniform factor f(x) which converges to zero at an exponential rate as \(| x|\) gets large. As a consequence a bound for \(X_ i's\) with finite second moments is derived. This bound is sharp in \(A_ n\) and f(x).