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

Jérôme Dedecker and Florence Merlevède

Stochastic Processes and their Applications, 2011, vol. 121, issue 5, 1013-1043

Abstract: 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.

Keywords: Minimal; distances; Ideal; distances; Gaussian; approximation; Martingales; Linear; processes; Long; range; dependence (search for similar items in EconPapers)
Date: 2011
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