Berry-Esseen inequality for random walks conditioned to stay positive
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866913608138489856 |
|---|---|
| author | Denisov, Denis Tarasov, Alexander Wachtel, Vitali |
| author_facet | Denisov, Denis Tarasov, Alexander Wachtel, Vitali |
| contents | We consider random walks conditioned to stay positive. When the mean of increments is zero and variance is finite it is known that they converge to the Rayleigh distribution. In the present paper we derive a Berry-Esseen type estimate and show that the rate of convergence is of order $n^{-1/2}$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_08502 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Berry-Esseen inequality for random walks conditioned to stay positive Denisov, Denis Tarasov, Alexander Wachtel, Vitali Probability Primary 60G50, Secondary 60G40, 60F17 We consider random walks conditioned to stay positive. When the mean of increments is zero and variance is finite it is known that they converge to the Rayleigh distribution. In the present paper we derive a Berry-Esseen type estimate and show that the rate of convergence is of order $n^{-1/2}$. |
| title | Berry-Esseen inequality for random walks conditioned to stay positive |
| topic | Probability Primary 60G50, Secondary 60G40, 60F17 |
| url | https://arxiv.org/abs/2412.08502 |