Berry-Esseen inequality for random walks conditioned to stay positive

2024/12/11 by Denisov, Denis, Tarasov, Alexander, Wachtel, Vitali
#60F17 #FOS: Mathematics #Primary 60G50 #Probability (math.PR) #Secondary 60G40

paper · doi:10.48550/arxiv.2412.08502

Abstract

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.

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