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On the speed of convergence in the central limit theorem of sequential log-likelihood ratio processes
A K BASU, D BHATTACHARYA
Published in -
1994
Volume: 13
   
Issue: 2
Pages: 97 - 111
Abstract
In this paper we, under a very general dependence set-up,obtain a rate of convergence of the randomly stopped normalized log-lIkelI hood ratio statistic to standard normal variables. Two examples are taken Into account. Nonuniform rates of convergence and bounds for Lp norms are also obtained under some quite general conditions. Martingale techniques have been exploited throughout. © 1994, Taylor & Francis Group, LLC. All rights reserved.
About the journal
JournalSequential Analysis
Publisher-
ISSN0747-4946