Multivariate Gaussian approximations on Markov chaoses

DOI10.1214/16-ECP4615MaRDI QIDQ303678zbMATHFDO

Authors Simon Campese, Ivan Nourdin, Giovanni Peccati, Guillaume Poly

Publication date 22 August 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.02105

zbMATH Keywords

fourth moment theoremMarkov diffusion generatormultivariate normal approximations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Markov processes (60J99) Transition functions, generators and resolvents (60J35)

Abstract: We prove a version of the multidimensional Fourth Moment Theorem for chaotic random vectors, in the general context of diffusion Markov generators. In addition to the usual componentwise convergence and unlike the infinite-dimensional Ornstein-Uhlenbeck generator case, another moment-type condition is required to imply joint convergence of of a given sequence of vectors.

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Cited in

(11)

• On the fourth moment condition for Rademacher chaos
• Approximation of Hilbert-valued gaussians on Dirichlet structures
• Chaos of a Markov operator and the fourth moment condition
• Multidimensional limit theorems for homogeneous sums: a survey and a general transfer principle
• Four moments theorems on Markov chaos
• Fourth moment theorems on the Poisson space in any dimension
• The Berry-Esseen bound in de Jong's CLT
• Normal approximation when a chaos grade is greater than two
• A Peccati-Tudor type theorem for Rademacher chaoses
• High-dimensional central limit theorems for homogeneous sums
• Entropy and the fourth moment phenomenon

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