APPROXIMATION ORDERS IN THE CONDITIONAL CENTRAL LIMIT THEOREM FOR WEAKLY DEPENDENT RANDOM VARIABLES
BUI KHOI DAM
Let $(X_n)_{n\geq 1}$ be a stationary, strong mixing sequence of random variables with $EX_n=0$, $EX^2_n=1$ and let $B\in\sigma(X_1,X_2,\dots,X_n,\dots)$ with $P(B) > 0$. In this note we establish an estimation for the quantity
$$\Delta_n(B)=\sup\limits_{t\in R}|P(S_n.(ES_n^2)^{-1/2} < t|B)-\Phi(t),$$
where $\Phi(t)$ is a standard normal distribution function and $S_n=\sum_{i=1}^nX_i$.