Sunklodas' Approach to Normal Approximation for Time-Dependent Dynamical Systems

We consider time-dependent dynamical systems arising as sequential compositions of self-maps of a probability space. We establish conditions under which the Birkhoff sums for multivariate observations, given a centering and a general normalizing sequence b(N) of invertible square matrices, are approximated by a normal distribution with respect to a metric of regular test functions. Depending on the metric and the normalizing sequence b(N), the conditions imply that the error in the approximation decays either at the rate $O\left(N^{-1/2}\right)$ or the rate $O(N^{-1/2}\log N)$, under the additional assumption that $\parallel b(N{)}^{-1}\parallel \lesssim N^{-1/2}$. The error comes with a multiplicative constant whose exact value can be computed directly from the conditions. The proof is based on an observation due to Sunklodas regarding Stein's method of normal approximation. We give applications to one-dimensional random piecewise expanding maps and to sequential, random, and quasistatic intermittent systems.