Rates of convergence in the central limit theorem for linear statistics of martingale differences |
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Authors: | Jérôme Dedecker Florence Merlevède |
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Institution: | a Université Paris Descartes, Laboratoire MAP5, UMR CNRS 8145, 45 rue des Saints-Pères, F-75270 Paris cedex 06, Franceb Université Paris Est-Marne la Vallée, LAMA and C.N.R.S. UMR 8050, 5 Boulevard Descartes, 77 454 Marne La Vallée cedex 2, France |
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Abstract: | 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. |
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Keywords: | 60 F 05 60 G 10 |
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