Stein's method and normal approximation of Poisson functionals (Q964773): Difference between revisions

In the introduction the authors provide a review of some results on normal approximation for some smooth functionals of Gaussian fields that were obtained by using Stein's method with a combination of Malliavin calculus. The authors modifiy the technique from the paper by \textit{I. Nourdin} and \textit{G. Peccati} [Probab. Theory Relat. Fields 145, No. 1--2, 75--118 (2009; Zbl 1175.60053)] and establish the normal approximation for regular functionals of completely random measure (Poisson measure) with respect to the Wasserstein distance. The main result of the paper is the explicit Berry-Esséen bound in the Central Limit Theorem (CLT) involving multiple Wiener-Itô integrals with respect to a general Poisson measure. The proof is based on a rather general inequality concerning the Gaussian approximation of regular functionals of Poisson measures. This inequality is of independent interest. Generalizations of the CLT for some functionals of Poisson measures previously obtained by \textit{G. Peccati} and \textit{M. S. Taqqu} [Electron. J. Probab. 12, 447--480, electronic only (2007; Zbl 1139.60024); ALEA, Lat. Am. J. Probab. Math. Stat. 4, 393--413, electronic only (2008; Zbl 1162.60311); Bernoulli 14, No.~3, 791--821 (2008; Zbl 1165.60014)] are presented, too. The authors provide several applications of the CLT related to Ornstein-Uhlenbeck Lévy processes. In particular, they prove Berry-Esséen bounds for arbitrary tensor powers of Ornstein-Uhlenbeck kernels.