On the rate of convergence in the martingale CLT

Alfredas Rackauskas

Statistics & Probability Letters, 1995, vol. 23, issue 3, 221-226

Abstract: Bounds are found on the accuracy of the Gaussian approximation of discreet time martingales with values in a multidimensional space. The bounds are with respect to the Kantorovich and the Prohorov metrics.

Keywords: Central; limit; theorem; Martingale; Banach; space; Convergence; rates (search for similar items in EconPapers)
Date: 1995
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