On the global central limit theorem for -mixing random variables

MaRDI QIDQ1925167zbMATH OpenFDO

Authors Jonas Kazys Sunklodas

Publication date 18 August 1997

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

convergence of momentsglobal central limit theoremphi-mixing sequence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Review text

Let \(\{X_j:j\geq 1\}\) be a \(\varphi\)-mixing sequence of r.v.'s such that \(EX^2_j<\infty\), \(EX_j=0\) and define \(Z_n= B_n^{-1}\sum^n_{j=1} X_j\) where \(B^2_n= E[(\sum^n_{j=1} X_j)^2]\). Several estimates of \[ \int^\infty_{-\infty} |x|^l|P(Z_n< x)-\Phi(x)|dx \] and, consequently, of \(\bigl|E|Z_n|^l- \int^\infty_{-\infty} |x|^l\Phi(dx)\bigr|\) (\(\Phi\) is the standard normal distribution function) are proved under mixing rate assumptions. The paper uses the method of \textit{C. Stein} [in: Proc. 6th Berkeley Sympos. Math. Statist. Probab., Univ. Calif. 1970, 2, 583-602 (1972; Zbl 0278.60026)] and continues previous work done by the author [Lith. Math. J. 22, 171-189 (1982); translation from Litov. Mat. Sb. 22, No. 2, 171-188 (1982; Zbl 0495.60039)] and by \textit{C. Cealera} [Stud. Cercet. Mat. 44, No. 1, 13-35 (1992; Zbl 0756.60019)].

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