Rates of convergence in the central limit theorem for linear statistics of martingale differences (Q544503)
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scientific article; zbMATH DE number 5908022
| Language | Label | Description | Also known as |
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| English | Rates of convergence in the central limit theorem for linear statistics of martingale differences |
scientific article; zbMATH DE number 5908022 |
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Rates of convergence in the central limit theorem for linear statistics of martingale differences (English)
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15 June 2011
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The authors obtain upper bounds for the Zolotarev distance of order \(r\) between normalized linear statistics of a strictly stationary sequence of square integrable martingale differences and its limiting normal distribution. The bounds are then applied to linear processes with martingale difference innovations, linear processes with long range dependence and to parametric regression model with martingale difference errors.
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central limit theorem
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linear statistics
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martingale differences
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Zolotarev distance
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Gaussian distribution
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