On Normal Approximation for Strongly Mixing Random Variables

In this paper, we estimate the difference , where Z _n is the sum of n centered and normalized random variables (without the stationarity assumption) satisfying the strong mixing condition, N is a standard normal random variable, and h:ℝ→ℝ is a Lipschitz function. In particular cases, the obtained upper bounds are of order O(n ^−1/2). The research was partially supported by the Lithuanian State Science and Studies Foundation, grant No. T-10/06.