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On the Wasserstein distance for a martingale central limit theorem

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  • Fan, Xiequan
  • Ma, Xiaohui

Abstract

We prove an upper bound on the Wasserstein distance between normalized martingales and the standard normal random variable, which extends a result of Röllin (2018). The proof is based on a method of Bolthausen (1982).

Suggested Citation

  • Fan, Xiequan & Ma, Xiaohui, 2020. "On the Wasserstein distance for a martingale central limit theorem," Statistics & Probability Letters, Elsevier, vol. 167(C).
    • Handle: RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220301954
    DOI: 10.1016/j.spl.2020.108892
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    References listed on IDEAS

    as
    1. Grama, Ion & Haeusler, Erich, 2000. "Large deviations for martingales via Cramér's method," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 279-293, February.
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