Multivariate normal approximation using Stein's method and Malliavin calculus
From MaRDI portal
Abstract: We combine Stein's method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of Gaussian fields. Our results generalize and refine the main findings by Peccati and Tudor (2005), Nualart and Ortiz-Latorre (2007), Peccati (2007) and Nourdin and Peccati (2007b, 2008); in particular, they apply to approximations by means of Gaussian vectors with an arbitrary, positive definite covariance matrix. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion.
Recommendations
Cites work
- scientific article; zbMATH DE number 50805 (Why is no real title available?)
- scientific article; zbMATH DE number 3438144 (Why is no real title available?)
- scientific article; zbMATH DE number 2149887 (Why is no real title available?)
- CLT and other limit theorems for functionals of Gaussian processes
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for non-linear functionals of Gaussian fields
- Central limit theorems for sequences of multiple stochastic integrals
- Fluctuations of eigenvalues and second order Poincaré inequalities
- Gaussian approximations of multiple integrals
- Multivariate normal approximation using exchangeable pairs
- Noncentral convergence of multiple integrals
- On the rate of convergence in the multivariate CLT
- Real Analysis and Probability
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Stein's method for diffusion approximations
- Stein's method on Wiener chaos
- The Malliavin Calculus and Related Topics
Cited in
(79)- On Stein's method for multivariate self-decomposable laws
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
- Stein operators for variables form the third and fourth Wiener chaoses
- Multidimensional limit theorems for homogeneous sums: a survey and a general transfer principle
- Malliavin calculus and self normalized sums
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE
- On algebraic Stein operators for Gaussian polynomials
- Multi-dimensional Gaussian fluctuations on the Poisson space
- Stein's method on Wiener chaos
- Stein's method for functions of multivariate normal random variables
- Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
- Functional limit theorems for generalized variations of the fractional Brownian sheet
- Classical and free fourth moment theorems: universality and thresholds
- On Stein's method for multivariate self-decomposable laws with finite first moment
- High-dimensional central limit theorems by Stein's method
- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
- Measuring sample quality with diffusions
- A MULTIVARIATE VERSION OF STEIN'S IDENTITY WITH APPLICATIONS TO MOMENT CALCULATIONS AND ESTIMATION OF CONDITIONALLY SPECIFIED DISTRIBUTIONS
- Quantitative Breuer-Major theorems
- Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
- Multivariate second order Poincaré inequalities for Poisson functionals
- A first-order Stein characterization for absolutely continuous bivariate distributions
- Chaos of a Markov operator and the fourth moment condition
- Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula
- Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
- Normal convergence using Malliavin calculus with applications and examples
- On the fourth moment theorem for complex multiple Wiener–Itô integrals
- Quantitative multidimensional central limit theorems for means of the Dirichlet-Ferguson measure
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Stein kernels and moment maps
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
- Total variation distance between stochastic polynomials and invariance principles
- Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
- Optimal rate of convergence for vector-valued Wiener-Itô integral
- A new central limit theorem and decomposition for Gaussian polynomials, with an application to deterministic approximate counting
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- KOLMOGOROV DISTANCE FOR MULTIVARIATE NORMAL APPROXIMATION
- Normal approximation for white noise functionals by Stein's method and Hida calculus
- Approximation of Hilbert-valued gaussians on Dirichlet structures
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Stability of the Poincaré constant
- Vector-valued statistics of binomial processes: Berry-Esseen bounds in the convex distance
- Bernstein-Jackson inequalities on Gaussian Hilbert spaces
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- Quantitative CLTs on a Gaussian space: a survey of recent developments
- On the Gaussian approximation of vector-valued multiple integrals
- Higher-order Stein kernels for Gaussian approximation
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- Regularization lemmas and convergence in total variation
- Lectures on Gaussian Approximations with Malliavin Calculus
- Entropy and the fourth moment phenomenon
- Fluctuations for matrix-valued Gaussian processes
- Berry-Esséen bounds for long memory moving averages via Stein's method and Malliavin calculus
- Group representations and high-resolution central limit theorems for subordinated spherical random fields
- Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
- Approximate central limit theorems
- Stein's method of normal approximation for dynamical systems
- On Stein's method for multivariate normal approximation
- Second order Poincaré inequalities and CLTs on Wiener space
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- Stein's method and a quantitative Lindeberg CLT for the Fourier transforms of random vectors
- Hermite variations of the fractional Brownian sheet
- Stein's method for conditional central limit theorem
- Comparison inequalities on Wiener space
- Convergence of densities of some functionals of Gaussian processes
- Universal Gaussian fluctuations on the discrete Poisson chaos
- Multidimensional Stein method and quantitative asymptotic independence
- Stein's method in high dimensions with applications
- Multivariate normal approximation on the Wiener space: new bounds in the convex distance
- On Stein's method for infinite-dimensional Gaussian approximation in abstract Wiener spaces
- Normal approximation for mixtures of normal distributions and the evolution of phenotypic traits
- The Malliavin-Stein method for Hawkes functionals
- Cumulants on the Wiener space
- Multidimensional Stein-Malliavin calculus for the multivariate Gaussian distribution
- Stein's method and multinomial approximation
- Superconvergence phenomenon in Wiener chaoses
This page was built for publication: Multivariate normal approximation using Stein's method and Malliavin calculus
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q974767)
