Berry-Esseen theorems under weak dependence
Abstract
Let be a stationary sequence. Given moments and a mild weak dependence condition, we show a Berry-Esseen theorem with optimal rate . For , we also show a convergence rate of in -norm, where . Up to factors, we also obtain nonuniform rates for any . 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