A uniform estimate for the rate of convergence in the multidimensional central limit theorem for homogeneous Markov chains

DOI10.1155/S0161171296000634MaRDI QIDQ1914764zbMATH OpenFDO

Authors Yanyan Li

Publication date 5 January 1997

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47559

zbMATH Keywords

homogeneous Markov chainrate of convergenceremainder term in the central limit theoremuniform estimate

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

A uniform estimate is obtained for the remainder term in the central limit theorem (CLT) for a sequence of random vectors \(f(x_1), f(x_2), \dots\) forming a homogeneous Markov chain with arbitrary set of states. This estimate is obtained for \(\sup_{A\in B^k_0} |P_n- \Phi (A)|\) without assumption of the finiteness of \(\sup_{\xi\in X} \int_X |f(\eta) |^3 P(\xi, d\eta)\). CLT for sequences of random vectors \(f(x_1), f(x_2), \dots\) with condition of finiteness of the absolute second moment of the transition probabilities is proved, too.

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