Multi-dimensional normal approximation of heavy-tailed moving averages

DOI10.1016/J.SPA.2021.11.011MaRDI QIDQ2074993zbMATH OpenOpenAlexFDO

Authors Ehsan Azmoodeh, Mathias Mørck Ljungdahl, Christoph Thäle

Publication date 11 February 2022

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

Full work available at URL https://arxiv.org/abs/2002.11335

zbMATH Keywords

central limit theoremheavy-tailed moving averageLévy processMalliavin-Stein methodPoisson random measuresecond-order Poincaré inequality

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: In this paper we extend the refined second-order Poincar'e inequality for Poisson functionals from a one-dimensional to a multi-dimensional setting. Its proof is based on a multivariate version of the Malliavin-Stein method for normal approximation on Poisson spaces. We also present an application to partial sums of vector-valued functionals of heavy-tailed moving averages. The extension allows a functional with multivariate arguments, i.e. multiple moving averages and also multivariate values of the functional. Such a set-up has previously not been explored in the framework of stable moving average processes. It can potentially capture probabilistic properties which cannot be described solely by the one-dimensional marginals, but instead require the joint distribution.

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Cited in

(2)

• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
• Estimation of mixed fractional stable processes using high-frequency data

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