Rates of convergence in the central limit theorem for linear statistics of martingale differences

In this paper, we give rates of convergence for minimal distances between linear statistics of martingale differences and the limiting Gaussian distribution. In particular the results apply to the partial sums of (possibly long range dependent) linear processes, and to the least squares estimator in some parametric regression models.

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Year of publication:	2011
Authors:	Dedecker, Jérôme ; Merlevède, Florence
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 5, p. 1013-1043
Publisher:	Elsevier
Keywords:	Minimal distances Ideal distances Gaussian approximation Martingales Linear processes Long range dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874295