On the Wasserstein distance for a martingale central limit theorem

Xiequan Fan and Xiaohui Ma

Statistics & Probability Letters, 2020, vol. 167, issue C

Abstract: We prove an upper bound on the Wasserstein distance between normalized martingales and the standard normal random variable, which extends a result of Röllin (2018). The proof is based on a method of Bolthausen (1982).

Keywords: Martingales; Central limit theorem; Wasserstein metric (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715220301954
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220301954

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2020.108892

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().