A Berry-Esseen Bound for Vector-valued Martingales

This note provides a conditional Berry-Esseen bound for the sum of a martingale difference sequence $\{X_i\}_{i=1}^n$ in $\mathbb{R}^d$, $d\ge 1$, adapted to a filtration $\{\mathcal{F}_i\}_{i=1}^n$. We approximate the conditional distribution of $S=\sum_{i=1}^n X_i$ given some $σ$-field $\mathcal{F}_0\subset \mathcal{F}_1$ by that of a mean-zero normal random vector having the same conditional variance given $\mathcal{F}_0$ as the vector $S$. Assuming that the conditional variances $\mathsf{E}[X_iX_i^{\top}\mid\mathcal{F}_{i-1}]$, $i\ge 1$, are $\mathcal{F}_0$-measurable and non-singular, and the third conditional moments of $\|X_i\|$, $i\ge 1$, given $\mathcal{F}_0$ are uniformly bounded, we present a simple bound on the conditional Kolmogorov distance between $S$ and its approximation given $\mathcal{F}_0$ which is of order $O_{a.s.}([\ln(ed)]^{5/4}n^{-1/4})$.

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