Rates of convergence in the central limit theorem for linear statistics of martingale differences

被引：4

作者：

Dedecker, Jerome ^{[1
]}

Merlevede, Florence ^{[2
,3
]}

机构：

[1] Univ Paris 05, Lab MAP5, CNRS, UMR 8145, F-75270 Paris 06, France

[2] Univ Paris Est Marne la Vallee, LAMA, F-77454 Marne La Vallee 2, France

[3] CNRS, UMR 8050, F-77454 Marne La Vallee 2, France

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 05期

关键词：

Minimal distances; Ideal distances; Gaussian approximation; Martingales; Linear processes; Long range dependence; MINIMAL DISTANCES;

D O I：

10.1016/j.spa.2011.01.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we give rates of convergence for minimal distances between linear statistics of martingale differences and the limiting Gaussian distribution. In particular the results apply to the partial sums of (possibly long range dependent) linear processes, and to the least squares estimator in some parametric regression models. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1013 / 1043

页数：31

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