Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric

DOI10.1016/J.SPL.2005.05.008MaRDI QIDQ2489842zbMATH OpenOpenAlexFDO

Authors Alessio Sancetta

Publication date 28 April 2006

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.05.008

zbMATH Keywords

central limit theoremCopulaMixing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Review text

This paper presents an estimate of the distance, under the bounded Lipschitz metric, between the partial sum of dependent nonidentically distributed \(k\)-dimensional random vectors and a Gaussian random vector. It is well known that the bounded Lipschitz metric metrizes weak convergence and is directly related to the Prokhorov distance. The presented bound is in terms of the third absolute moment of a partial sum of the original random vectors and an error related to the dependence among the random vectors. The error related to the dependence among the random vectors is expressed in terms of minimal conditions that are easy to check if we assume any of the existing and well known weak dependence conditions in the literature.

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Cites work

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(1)

• Lipschitz Correspondence between Metric Measure Spaces and Random Distance Matrices

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