Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization (Q737315)

The authors consider a Poisson random measure \(\eta\) on a measurable space \((X,{\mathcal X})\) with \(\sigma\)-finite intensity measure \(\lambda.\) The Poincaré inequality states that the variance of a square-integrable Poisson functional \(F=f(\eta)\) can be bounded as \[ \mathrm{Var}(F)\leq E\int(D_xF)^2\lambda(dx), \] where the difference operator \(D_xF\) is defined as \(D_xF:=f(\eta+\delta_x)-f(\eta).\) The main goal of the paper is to combine estimates of the above type with a suitable version of Stein's method, in order to establish explicit bounds on the normal approximation of a general functional of the type \(F=f(\eta)\). The motivation came from random matrix theory. In this paper, a new class of second order Poincaré inequalities, involving general square-integrable functionals of the Poisson measure \(\eta\), is established and applied. The approach relies on the normal approximation results, which are derived from a combination of Stein's method and Malliavin calculus.