Multi-dimensional normal approximation of heavy-tailed moving averages

DOI10.1016/J.SPA.2021.11.011zbMATH Open1482.60032arXiv2002.11335OpenAlexW3008381175MaRDI QIDQ2074993FDOQ2074993

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)

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.

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

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zbMATH Keywords

central limit theoremPoisson random measureMalliavin-Stein methodheavy-tailed moving averageLévy processsecond-order Poincaré inequality

Mathematics Subject Classification ID

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

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Cited In (2)

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

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