A note on the rate of convergence in the martingale central limit theorem (Q794054)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 3858069
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A note on the rate of convergence in the martingale central limit theorem |
scientific article; zbMATH DE number 3858069 |
Statements
A note on the rate of convergence in the martingale central limit theorem (English)
0 references
1984
0 references
Applying the Skorokhod embedding scheme \textit{C. C. Heyde} and \textit{B. M. Brown} [Ann. Math. Stat. 41, 2161-2165 (1970; Zbl 0225.60026)] obtained an estimate of the rate of convergence in the central limit theorem for martingale differences with finite absolute moments of order \(2+2\delta\) for \(0<\delta \leq 1\). In the present note this estimate is extended to the range \(1<\delta<\infty\) (up to a logarithmic factor). The method of proof is a refinement of the classical Lindeberg-Lévy approach developed by \textit{E. Bolthausen}, Ann. Probab. 10, 672-688 (1982; Zbl 0494.60020).
0 references
rate of convergence
0 references
central limit theorem for martingale differences
0 references
0.8553838729858398
0 references
0.8540976643562317
0 references
0.8408174514770508
0 references
0.8342412710189819
0 references
0.8316853642463684
0 references
