A Berry-Esseen bound for vector-valued martingales

DOI10.1016/j.spl.2022.109448zbMath1487.60053arXiv2011.00374OpenAlexW4220754119MaRDI QIDQ2670761

Kyungchul Song, Denis Kojevnikov

Publication date: 1 June 2022

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

Full work available at URL: https://arxiv.org/abs/2011.00374

zbMATH Keywords

Gaussian approximationBerry-Esseen boundvector-valued martingalemartingale-difference sequence

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

Econometric inference on a large Bayesian game with heterogeneous beliefs

Cites Work

• Exact convergence rates in some martingale central limit theorems
• A Berry-Esseen bound of order \(\frac{1}{\sqrt{n}}\) for martingales
• High-dimensional central limit theorems by Stein's method
• Central limit theorems and bootstrap in high dimensions
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• A note on exact convergence rates in some martingale central limit theorems
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