Journal of Applied Mathematics and Stochastic Analysis 
Volume 14 (2001), Issue 1, Pages 27-46
doi:10.1155/S1048953301000041

Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence

N. N. Leonenko1 and V. V. Anh2

 1Kyiv University (National), Department of Mathematics, Kyiv 252601, Ukraine
2Queensland University of Technology, School of Mathematical Sciences, GPO Box 2434, Brisbane Q 4001, Australia
Received 1 October 1999; Revised 1 October 2000

Abstract

This paper establishes the rate of convergence (in the uniform Kolmogorov distance) for normalized additive functionals of stochastic processes with long-range dependence to a limiting Rosenblatt distribution.