Optimal variance-Gamma approximation on the second Wiener chaos

DOI10.1016/J.JFA.2022.109450MaRDI QIDQ2118418zbMATH OpenOpenAlexFDO

Authors Ehsan Azmoodeh, Peter Eichelsbacher, Christoph Thäle

Publication date 22 March 2022

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

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

zbMATH Keywords

six moment theoremStein's methodvariance-Gamma approximationWiener chaos

Mathematics Subject Classification ID

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

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.

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Cited in

(12)

• Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
• Variance-gamma approximation via Stein's method
• Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
• Optimal gamma approximation on Wiener space
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• Absolute moments of the variance-gamma distribution
• On the cumulative distribution function of the variance-gamma distribution
• The variance-gamma distribution: a review
• Stein's method for asymmetric Laplace approximation
• Malliavin-Stein method for variance-gamma approximation on Wiener space

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