NORMAL APPROXIMATION FOR UNORDERED MARTINGALE DIFFERENCE SEQUENCES
Corresponding Author(s) : Le Van Dung
UED Journal of Social Sciences, Humanities and Education,
Vol. 5 No. 1 (2015): UED JOURNAL OF SOCIAL SCIENCES, HUMANITIES AND EDUCATION
Of all the limit theorems of the probability theory, the central limit theorem plays an important role in statistical analysis and its application. However, statistical problems cannnot be solved with infinitely large sample sizes, so the problem of “normal approximation” helps to estimate the required sample size to apply central limit theorems. In 1970, Charler Stein introduced his startling technique for normal approximation which is now known as Stein's method. This paper establishes some results of normal approximation for sequences of unordered martingale difference random variables. The results are the extension of those of the independent random variables sequences.
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