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On the Wasserstein distance for a martingale central limit theorem.

Authors :
Fan, Xiequan
Ma, Xiaohui
Source :
Statistics & Probability Letters. Dec2020, Vol. 167, pN.PAG-N.PAG. 1p.
Publication Year :
2020

Abstract

We prove an upper bound on the Wasserstein distance between normalized martingales and the standard normal random variable, which extends a result of Röllin (2018). The proof is based on a method of Bolthausen (1982). [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*CENTRAL limit theorem
*MARTINGALES (Mathematics)
*LIMIT theorems
*RANDOM variables

Details

Language :
English
ISSN :
01677152
Volume :
167
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
145994135
Full Text :
https://doi.org/10.1016/j.spl.2020.108892
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