A Berry-Esseen bound of order $ 1/\sqrt{n} $ for martingales

Renz (Ann. Probab. 1996) has established a rate of convergence $1/\sqrt{n}$ in the central limit theorem for martingales with some restrictive conditions. In the present paper a modification of the methods, developed by Bolthausen (Ann. Probab. 1982) and Grama and Haeusler (Stochastic Process. Appl....

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Hauptverfasser: Wu, Songqi, Ma, Xiaohui, Sang, Hailin, Fan, Xiequan
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Sprache:eng
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Zusammenfassung:Renz (Ann. Probab. 1996) has established a rate of convergence $1/\sqrt{n}$ in the central limit theorem for martingales with some restrictive conditions. In the present paper a modification of the methods, developed by Bolthausen (Ann. Probab. 1982) and Grama and Haeusler (Stochastic Process. Appl. 2000), is applied for obtaining the same convergence rate for a class of more general martingales. An application to linear processes is discussed.
DOI:10.48550/arxiv.2002.00307