Rates of Convergence in the Central Limit Theorem for the Elephant Random Walk with Random Step Sizes

In this paper, we consider a generalization of the elephant random walk model. Compared to the usual elephant random walk, an interesting feature of this model is that the step sizes form a sequence of positive independent and identically distributed random variables instead of a fixed constant. For this model, we establish the law of the iterated logarithm, the central limit theorem, and we obtain rates of convergence in the central limit theorem with respect to the Kolmogorov, Zolotarev and Wasserstein distances. We emphasize that, even in case of the usual elephant random walk, our results concerning the rates of convergence in the central limit theorem are new.