An Edgeworth expansion for functionals of Gaussian fields and its applications

DOI10.1016/J.SPA.2018.01.006MaRDI QIDQ1630657zbMATH OpenOpenAlexFDO

Authors Yoon Tae Kim, Hyun Suk Park

Publication date 10 December 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2018.01.006

zbMATH Keywords

Malliavin calculusEdgeworth expansionKolmogorov distancefourth moment theoremmultiple stochastic integralStein's equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Central limit and other weak theorems (60F05)

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Cites work

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• Central limit theorems for sequences of multiple stochastic integrals
• Cumulants on the Wiener space
• Lectures on Gaussian Approximations with Malliavin Calculus
• Normal Approximation by Stein’s Method
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On the Gaussian approximation of vector-valued multiple integrals
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
• Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Stein's method meets Malliavin calculus: a short survey with new estimates
• Stein's method on Wiener chaos
• The Malliavin Calculus and Related Topics
• The bootstrap and Edgeworth expansion
• The optimal fourth moment theorem

Cited in

(5)

• Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
• Kolmogorov distance for the central limit theorems of the Wiener chaos expansion and applications
• The optimal third moment theorem
• An improved second-order Poincaré inequality for functionals of Gaussian fields
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants

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