Multivariate normal approximation using Stein's method and Malliavin calculus (Q974767): Difference between revisions
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Revision as of 01:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate normal approximation using Stein's method and Malliavin calculus |
scientific article |
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Multivariate normal approximation using Stein's method and Malliavin calculus (English)
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7 June 2010
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The aim of this paper is to combine Stein's method with Malliavin calculus in order to obtain explicit bounds in the multidimensional Gaussian approximation in the Wasserstein distance of functionals of Gaussian fields. Finally the authors give two applications: (1) to a functional version of the Brener-Major CLT and (2) to Gaussian approximations of functionals of finite normal vectors.
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Malliavin calculus
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normal approximation
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Stein's method
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Wasserstein distance
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