On the Rate of Convergence in the Central Limit Theorem in Banach Spaces
Gotze, F.
Ann. Probab., Tome 14 (1986) no. 4, p. 922-942 / Harvested from Project Euclid
Let $E$ denote a separable Banach space and let $X_i, i \in \mathbb{N}$, be a sequence of i.i.d. $E$-valued random vectors having finite third moment such that the central limit theorem holds. We prove that the convergence rate in the central limit theorem is $O(n^{-1/2})$ for regions $\{x \in E: F(x) < r\}$ which are defined by means of a smooth real valued function $F$ on $E$, provided that the limiting distribution of the gradient of $F$ fulfills a variance condition. Using this result we prove that the rate of convergence in the functional limit theorem for empirical processes is of order $O(n^{-1/2})$.
Publié le : 1986-07-14
Classification:  Central limit theorem in Banach spaces,  functional limit theorems,  empirical processes,  60B12,  60F17
@article{1176992448,
     author = {Gotze, F.},
     title = {On the Rate of Convergence in the Central Limit Theorem in Banach Spaces},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 922-942},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992448}
}
Gotze, F. On the Rate of Convergence in the Central Limit Theorem in Banach Spaces. Ann. Probab., Tome 14 (1986) no. 4, pp.  922-942. http://gdmltest.u-ga.fr/item/1176992448/