Rate of convergence in the central limit theorem for sequences with mixing
Let \(\xi_ k\), \(k\geq 1\), be a stationary in the restricted sense sequence of random variables with \(E\xi_ k=0\). Let \(S_ n=\sum^{n}_{k=1}\xi_ k\), \(B^ 2_ n=ES^ 2_ n\), \(Z_ n=B_ n^{-1}S_ n\), \(\Delta_ n=\sup_{x}| P\{Z_ n<x\}-\Phi (x)|\), where \(\Phi\) is the distribution function of the standard normal law. In this note under an almost Markovian type mixing condition with exponentially decreasing coefficients together with some condition on the growth of semi-invariants of \(\xi_ 1\) the estimate \(\Delta_ n\leq Cn^{-1/2}\) is proved.
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