Berry-Esseen Bounds for Random Index Non Linear Statistics via Stein's Method

Mongkhon Tuntapthai, Nattakarn Chaidee and Kritsana Neammanee

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 16, 3464-3485

Abstract: Under the second moment condition, we obtain Berry-Esseen bounds for random index non linear statistics by using a technique discussed in Chen and Shao (2007). A concept in this article is to approximate any random index non-linear statistic by a random index linear statistic. The bounds for random sums of independent random variables are also provided. Applications are the bounds for random U-statistics and random sums of the present values in investment analysis.

Date: 2015
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DOI: 10.1080/03610926.2013.847102

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