A uniform estimate for the rate of convergence in the multidimensional central limit theorem for homogeneous Markov chains
In this paper a uniform estimate is obtained for the remainder term in the central limit theorem (CLT) for a sequence of random vectors forming a homogeneous Markov chain with arbitrary set of states. The result makes it possible to estimate the rate of convergence in the CLT without assuming the fi...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
1996-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S0161171296000634 |
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| Summary: | In this paper a uniform estimate is obtained for the remainder term in the central
limit theorem (CLT) for a sequence of random vectors forming a homogeneous Markov chain with
arbitrary set of states. The result makes it possible to estimate the rate of convergence in the CLT
without assuming the finiteness of the absolute third moment of the transition probabilities. Some
consequences are also proved. |
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| ISSN: | 0161-1712 1687-0425 |