Quantitative bounds in the central limit theorem for m-dependent random variables

arXiv2208.06351MaRDI QIDQ6407714FDOQ6407714

Authors: Svante Janson, Luca Pratelli, Pietro Rigo 

Publication date: 12 August 2022

Abstract: For each $nge1$, let $X_{n,1},ldots,X_{n,N_n}$ be real random variables and $S_n=su{m}_{i=1}^{N_n}{X}_{n,i}$. Let $m_{n}ge1$ be an integer. Suppose $(X_{n,1},ldots,X_{n,N_n})$ is $m_n$-dependent, $E(X_{ni})=0$, $E(X_{ni}^2)<infty$ and $sigm{a}_n^2:=E(S_n^2)>0$ for all $n$ and $i$. Then, �egin{gather*} d_WBigl(frac{S_n}{sigma_n},,ZBigr)le 30,�igl{c^{1/3}+12,U_n(c/2)^{1/2}�igr}quadquad ext{for all }nge 1 ext{ and }c>0, end{gather*} where $d_W$ is Wasserstein distance, $Z$ a standard normal random variable and ${\displaystyle }$U_n(c)=frac{m_n}{sigma_n^2},sum_{i=1}^{N_n}EBigl[X_{n,i}^2,1�igl{abs{X_{n,i}}>c,sigma_n/m_n�igr}Bigr].${\displaystyle }$ Among other things, this estimate of $$ yields a similar estimate of $$ where $d_{TV}$ is total variation distance.

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