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Journal Article

On the Convergence Rate in the Central Limit Theorem for Associated Processes

Thomas Birkel
The Annals of Probability
Vol. 16, No. 4 (Oct., 1988), pp. 1685-1698
Stable URL: http://www.jstor.org/stable/2243986
Page Count: 14
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On the Convergence Rate in the Central Limit Theorem for Associated Processes
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Abstract

We give uniform rates of convergence in the central limit theorem for associated processes with finite third moment. No stationarity is required. Using a coefficient u(n) which describes the covariance structure of the process, we obtain a convergence rate O(n-1/2log2n) if u(n) exponentially decreases to 0. An example shows that such a rate can no longer be obtained if u(n) decreases only as a power.

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