A note on exact convergence rates in some martingale central limit theorems
Renz, Joachim
Ann. Probab., Tome 24 (1996) no. 2, p. 1616-1637 / Harvested from Project Euclid
Bolthausen established a bound of order $1/\sqrt{n}$ on the rate of convergence in the central limit theorem for martingale difference arrays having bounded conditional moments of order 4. In the present paper it is shown how much this moment condition can be relaxed while maintaining the same rate of convergence. An example shows that, unlike in the i.i.d. case, a moment condition of order 3 is not enough. Furthermore, exact rates of convergence are derived for moment conditions of order between 2 and 3.
Publié le : 1996-07-14
Classification:  Martingales,  central limit theorem,  rates of convergence,  60F05,  60G42
@article{1065725195,
     author = {Renz, Joachim},
     title = {A note on exact convergence rates in some martingale central
			 limit theorems},
     journal = {Ann. Probab.},
     volume = {24},
     number = {2},
     year = {1996},
     pages = { 1616-1637},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1065725195}
}
Renz, Joachim. A note on exact convergence rates in some martingale central
			 limit theorems. Ann. Probab., Tome 24 (1996) no. 2, pp.  1616-1637. http://gdmltest.u-ga.fr/item/1065725195/