Quadratic transportation cost in the conditional central limit theorem for dependent sequences (Q6047217)

Given a strictly stationary sequence \((X_i)_{i\in\mathbb{Z}}\) of random variables with zero mean and finite variance, the authors consider the approximation of the law of \(n^{-1/2}(X_1+\cdots+X_n)\) by a Gaussian distribution, with explicit error bounds given in the Wasserstein distance of order 2. The main result of the present paper is a conditional central limit theorem, which holds under the convergence of a certain series of dependence coefficients. Consequences of this result include a Berry-Esseen inequality, and an analogous pointwise estimate for the generalized inverse of the distribution function. Applications are given to \(\alpha\)-mixing sequences, \(\tau\)-mixing sequences, and irreducible Markov chains.