Nonuniform Berry-Esseen bound for self-normalized martingales

Songqi Wu, Lingjie Kong

Published 2021-04-29Version 1

We give a nonuniform Berry-Esseen bound for self-normalized martingales, which bridges the gap between the result of Haeusler (1988) and Fan and Shao (2018). The bound coincides with the nonuniform Berry-Esseen bound of Haeusler and Joos (1988) for standardized martingales. As a consequence, a Berry-Esseen bound is obtained.