Abstract
We give optimal convergence rates in the central limit theorem for a large class of martingale difference sequences with bounded third moments. The rates depend on the behaviour of the conditional variances and, for stationary sequences, the rate n−1/2log n is reached.
Citation
M. El Machkouri. L. Ouchti. "Exact convergence rates in the central limit theorem for a class of martingales." Bernoulli 13 (4) 981 - 999, November 2007. https://doi.org/10.3150/07-BEJ6116
Information
