Berry–Esseen estimates for regenerative processes under weak moment assumptions

Xiaoqin Guo and Jonathon Peterson

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1379-1412

Abstract: We prove Berry–Esseen type rates of convergence for central limit theorems (CLTs) of regenerative processes which generalize previous results of Bolthausen under weaker moment assumptions. We then show how this general result can be applied to obtain rates of convergence for (1) CLTs for additive functionals of positive recurrent Markov chains under certain conditions on the strong mixing coefficients, and (2) annealed CLTs for certain ballistic random walks in random environments.

Keywords: Regeneration times; CLT rates of convergence; Random walks in random environments (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:4:p:1379-1412

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DOI: 10.1016/j.spa.2018.05.001

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