Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric

Alessio Sancetta

Statistics & Probability Letters, 2005, vol. 75, issue 3, 158-168

Abstract: This paper provides bounds for the rate of weak convergence of a multivariate weakly dependent nonidentically distributed partial sum to the Gaussian law. Using the approach of Bentkus [2003, On normal approximations, approximations of semigroups of operators, and approximations by accompanying laws. Available at the following URL: http://www.mathematik.uni-bielefeld.de/fgweb/Preprints/fg03035.pdf], we give an equivalent bound in terms of dimension, as in the case of iid random variables. The bound is stated in terms of minimal high-level assumptions.

Keywords: Bounded; Lipschitz; metric; Central; limit; theorem; Copula; Mixing (search for similar items in EconPapers)
Date: 2005
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