Nonuniform Berry-Esseen bound for self-normalized martingales
Probability
2021-04-30 v1
Abstract
We give a nonuniform Berry-Esseen bound for self-normalized martingales, which bridges the gap between the result of Haeusler (1988) and Fan and Shao (2018). The bound coincides with the nonuniform Berry-Esseen bound of Haeusler and Joos (1988) for standardized martingales. As a consequence, a Berry-Esseen bound is obtained.
Cite
@article{arxiv.2104.14063,
title = {Nonuniform Berry-Esseen bound for self-normalized martingales},
author = {Songqi Wu and Lingjie Kong},
journal= {arXiv preprint arXiv:2104.14063},
year = {2021}
}