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Berry-Esseen Bounds for Random Index Non Linear Statistics via Stein's Method

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  • Mongkhon Tuntapthai
  • Nattakarn Chaidee
  • Kritsana Neammanee

Abstract

Under the second moment condition, we obtain Berry-Esseen bounds for random index non linear statistics by using a technique discussed in Chen and Shao (2007). A concept in this article is to approximate any random index non-linear statistic by a random index linear statistic. The bounds for random sums of independent random variables are also provided. Applications are the bounds for random U-statistics and random sums of the present values in investment analysis.

Suggested Citation

  • Mongkhon Tuntapthai & Nattakarn Chaidee & Kritsana Neammanee, 2015. "Berry-Esseen Bounds for Random Index Non Linear Statistics via Stein's Method," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(16), pages 3464-3485, August.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:16:p:3464-3485
    DOI: 10.1080/03610926.2013.847102
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