English

Berry-Esseen theorems under weak dependence

Probability 2020-07-28 v3

Abstract

Let {Xk}kZ\{{X}_k\}_{k\geq\mathbb{Z}} be a stationary sequence. Given p(2,3]p\in(2,3] moments and a mild weak dependence condition, we show a Berry-Esseen theorem with optimal rate np/21n^{p/2-1}. For p4p\geq4, we also show a convergence rate of n1/2n^{1/2} in Lq\mathcal{L}^q-norm, where q1q\geq1. Up to logn\log n factors, we also obtain nonuniform rates for any p>2p>2. This leads to new optimal results for many linear and nonlinear processes from the time series literature, but also includes examples from dynamical system theory. The proofs are based on a hybrid method of characteristic functions, coupling and conditioning arguments and ideal metrics.

Keywords

Cite

@article{arxiv.1606.01617,
  title  = {Berry-Esseen theorems under weak dependence},
  author = {Moritz Jirak},
  journal= {arXiv preprint arXiv:1606.01617},
  year   = {2020}
}

Comments

Published at http://dx.doi.org/10.1214/15-AOP1017 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org). Minor corrections, results remain unchanged. Special thanks to Florence Merlevede, for pointing out some errors

R2 v1 2026-06-22T14:18:20.996Z