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 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)

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.

Recommendations

• Multi-dimensional Gaussian fluctuations on the Poisson space
• Multivariate second order Poincaré inequalities for Poisson functionals
• Moments and central limit theorems for some multivariate Poisson functionals
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Stein's method and normal approximation of Poisson functionals

Cites work

• scientific article; zbMATH DE number 4203373 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
• A minimal contrast estimator for the linear fractional stable motion
• Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages
• Estimation of the linear fractional stable motion
• Introduction to Malliavin calculus
• Mixing properties of multivariate infinitely divisible random fields
• Moments and central limit theorems for some multivariate Poisson functionals
• Multi-dimensional Gaussian fluctuations on the Poisson space
• Multivariate second order Poincaré inequalities for Poisson functionals
• Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On limit theory for functionals of stationary increments Lévy driven moving averages
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Representations and isomorphism identities for infinitely divisible processes
• Spectral representations of infinitely divisible processes
• Stochastic analysis for Poisson point processes. Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry

Cited in

(2)

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

This page was built for publication: Multi-dimensional normal approximation of heavy-tailed moving averages

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2074993)