Central limit theorem with rate of convergence under sublinear expectations

Qianqian Zhou, Alexander Sakhanenko and Junyi Guo

Stochastic Processes and their Applications, 2024, vol. 172, issue C

Abstract: We study rates of convergence in a central limit theorem (CLT) under sublinear expectations. We consider the form of the CLT introduced by Fang, Peng, Shao, and Song in their work in Bernoulli, 2019, where they investigated the case of Lipschitz functions. Under more general assumptions we obtain estimates in the CLT for arbitrary functions in terms of truncated third moments. Instead of using viscosity solutions of a nonlinear parabolic PDE, which is the main tool in investigations of the CLT under sublinear expectations, here we employ a simpler generalized Lindeberg method.

Keywords: Sublinear expectation; Central limit theorem; Lindeberg method; Rate of convergence (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104353

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