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Berry–Esseen estimates for regenerative processes under weak moment assumptions

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  • Guo, Xiaoqin
  • Peterson, Jonathon

Abstract

We prove Berry–Esseen type rates of convergence for central limit theorems (CLTs) of regenerative processes which generalize previous results of Bolthausen under weaker moment assumptions. We then show how this general result can be applied to obtain rates of convergence for (1) CLTs for additive functionals of positive recurrent Markov chains under certain conditions on the strong mixing coefficients, and (2) annealed CLTs for certain ballistic random walks in random environments.

Suggested Citation

  • Guo, Xiaoqin & Peterson, Jonathon, 2019. "Berry–Esseen estimates for regenerative processes under weak moment assumptions," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1379-1412.
    • Handle: RePEc:eee:spapps:v:129:y:2019:i:4:p:1379-1412
    DOI: 10.1016/j.spa.2018.05.001
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