Berry–Esseen inequality for random walks conditioned to stay positive
Abstract
We consider random walks conditioned to stay positive. When the mean of increments is zero and variance is finite it is known that their distribution converges to the Rayleigh law. In the present paper we derive a Berry–Esseen type estimate and show that if the third absolute moment is finite then the rate of convergence is of order n−1/2.
Fields of Study & Subjects
Stochastic processes and statistical mechanics
Bayesian Methods and Mixture Models
Publication details
- Journal / source
- The Annals of Applied Probability
- Volume
- 36
- Issue
- 2
- Publication date
- 1 April 2026
- Language
- EN