Bounds of the normal approximation for linear recursions with two effects

Abstract: Let

X_{0}

be a non-constant random variable with finite variance. Given an integer

k g e 2

, define a sequence

{X_{n}}_{n = 1}^{i} n f t y

of approximately linear recursions with small perturbations

{D e l t a_{n}}_{n = 0}^{i} n f t y

by

X_{n+1} = sum_{i=1}^k a_{n,i} X_{n,i} + Delta_n quad ext{for all } nge0

where

X_{n, 1}, d o t s, X_{n, k}

are independent copies of the

X_{n}

and

a_{n, 1}, d o t s, a_{n, k}

are real numbers. In 2004, Goldstein obtained bounds on the Wasserstein distance between the standard normal distribution and the law of

X_{n}

which is in the form

C g a m m a^{n}

for some constants

C > 0

and

0 < g a m m a < 1

. In this article, we extend the results to the case of two effects by studying a linear model

Z_{n} = X_{n} + Y_{n}

for all

n g e 0

, where

{Y_{n}}_{n = 1}^{i} n f t y

is a sequence of approximately linear recursions with an initial random variable

Y_{0}

and perturbations

{L a m b d a_{n}}_{n = 0}^{i} n f t y

, i.e., for some

e l l g e 2

,

Y_{n+1} = sum_{j=1}^ell b_{n,j} Y_{n,j} + Lambda_n quad ext{for all } nge0

where

Y_{n}

and

Y_{n, 1}, d o t s, Y_{n, e l l}

are independent and identically distributed random variables and

b_{n, 1}, d o t s, b_{n, e l l}

are real numbers. Applying the zero bias transformation in the Stein q s equation, we also obtain the bound for

Z_{n}

. Adding further conditions that the two models

(X_{n}, D e l t a_{n})

and

(Y_{n}, L a m b d a_{n})

are independent and that the difference between variance of

X_{n}

and

Y_{n}

is smaller than the sum of variances of their perturbation parts, our result is the same as previous work.

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