On the Wasserstein distance for a martingale central limit theorem
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Publication:2216963
Abstract: We prove an upper bound on the Wassertein distance between normalized martingales and the standard normal random variable, which extends a result of R"ollin [Statist. Probabil. Lett. 138 (2018) 171-176]. The proof is based on a method of Bolthausen [Ann. Probab. 10 (1982) 672-688].
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Cites work
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Cited in
(11)- A bound on the Wasserstein-2 distance between linear combinations of independent random variables
- A central limit theorem for Wasserstein type distances between two distinct univariate distributions
- Donsker's theorem in Wasserstein-1 distance
- Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
- \(L_1\) bounds for some martingale central limit theorems
- Distances de Wasserstein et de Zolotarev
- Behavior of the Wasserstein distance between the empirical and the marginal distributions of stationary \(\alpha\)-dependent sequences
- From \(p\)-Wasserstein bounds to moderate deviations
- Asymptotic constants for minimal distance in the central limit theorem
- Quantitative bounds in the central limit theorem for m-dependent random variables
- On the rate of convergence of the martingale central limit theorem in Wasserstein distances
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