On the rate of convergence in the martingale CLT

DOI10.1016/0167-7152(94)00116-PMaRDI QIDQ1892952zbMATH OpenOpenAlexFDO

Authors Alfredas Račkauskas

Publication date 20 May 1996

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)00116-p

zbMATH Keywords

Banach spaceGaussian approximationmartingale differencesrate of convergence

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Review text

Let \(\{X_i: i\geq 1\}\) be a sequence of martingale differences with values in a Banach space. The author provides bounds for Kantorovich and Prokhorov metrics between distributions of \(\sum^n_{i= 1} X_i/\sqrt n\), \(n\geq 1\), and a corresponding Gaussian distribution.

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Cites work

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Cited in

(8)

• Departure from normality of increasing-dimension martingales
• Central limit theorem, weak law of large numbers for martingales in Banach spaces, and weak invariance principle -- a quantitative study
• Some bounds on the rate of convergence in the CLT for martingales. II
• Uniform bounds in the central limit theorem for \(C(S)\) valued martingales
• scientific article; zbMATH DE number 4038885 (Why is no real title available?)
• scientific article; zbMATH DE number 4104072 (Why is no real title available?)
• scientific article; zbMATH DE number 699478 (Why is no real title available?)
• Kantorovich distance in the martingale CLT and quantitative homogenization of parabolic equations with random coefficients

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