Optimal variance-Gamma approximation on the second Wiener chaos

DOI10.1016/J.JFA.2022.109450zbMATH Open1490.60051arXiv2106.16018OpenAlexW3175522272MaRDI QIDQ2118418FDOQ2118418

Peter Eichelsbacher, Ehsan Azmoodeh, Christoph Thäle

Publication date: 22 March 2022

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: In this paper, we consider a target random variable $YsimCVG$ distributed according to a centered Variance--Gamma distribution. For a generic random element $F=I_2(f)$ in the second Wiener chaos with $E[F^2]=E[Y^2]$ we establish a non-asymptotic optimal bound on the distance between $F$ and $Y$ in terms of the maximum of difference of the first six cumulants. This six moment theorem extends the celebrated optimal fourth moment theorem of I. Nourdin & G. Peccati for normal approximation. The main body of our analysis constitutes a splitting technique for test functions in the Banach space of Lipschitz functions relying on the compactness of the Stein operator. The recent developments around Stein method for Variance--Gamma approximation by R. Gaunt play a significant role in our study. As an application we consider the generalized Rosenblatt process at the extreme critical exponent, first studied by S. Bai & M. Taqqu.

Full work available at URL: https://arxiv.org/abs/2106.16018

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zbMATH Keywords

Stein's methodWiener chaossix moment theoremvariance-Gamma approximation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cited In (6)

• Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
• Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos
• Absolute moments of the variance-gamma distribution
• On the moments of the variance-gamma distribution
• On the cumulative distribution function of the variance-gamma distribution
• Optimal Approximation of the Second Iterated Integral of Brownian Motion

Uses Software

• Digital Library of Mathematical Functions

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