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arXiv · 2005.00814

On the Wassertein distance for a martingale central limit theorem

Xiequan Fan·Xiaohui Ma
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Abstract

We prove an upper bound on the Wassertein distance between normalized martingales and the standard normal random variable, which extends a result of R\"ollin [Statist. Probabil. Lett. 138 (2018) 171-176]. The proof is based on a method of Bolthausen [Ann. Probab. 10 (1982) 672-688].

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BibTeXRIS

Xiequan Fan, Xiaohui Ma. 2020-05-02. On the Wassertein distance for a martingale central limit theorem. https://doi.org/10.1016/j.spl.2020.108892

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