A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
From MaRDI portal
Publication:2184590
DOI10.1214/20-EJP435zbMath1456.60051arXiv1904.06065MaRDI QIDQ2184590
Christoph Thäle, Mark Podolskij, Andreas Basse-O'Connor
Publication date: 29 May 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.06065
Malliavin calculusStein's methodcentral limit theoremnormal approximationmoving averagesinfinitely divisible processesPoisson random measureslinear fractional stable noise
Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Random measures (60G57) Stable stochastic processes (60G52)
Related Items
Variance asymptotics and central limit theory for geometric functionals of Poisson cylinder processes, Inference and forecasting for continuous-time integer-valued trawl processes, Multi-dimensional normal approximation of heavy-tailed moving averages
Cites Work
- Unnamed Item
- Unnamed Item
- Estimation of the linear fractional stable motion
- Stochastic analysis for Poisson point processes. Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry
- Fine Gaussian fluctuations on the Poisson space. I: Contractions, cumulants and geometric random graphs
- A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
- Quantitative de Jong theorems in any dimension
- Power variation for a class of stationary increments Lévy driven moving averages
- Poisson process Fock space representation, chaos expansion and covariance inequalities
- Functional Poisson approximation in Kantorovich-Rubinstein distance with applications to \(U\)-statistics and stochastic geometry
- Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
- Stein's method on Wiener chaos
- Tempering stable processes
- Linear and quadratic functionals of random hazard rates: An asymptotic analysis
- Stein's method and normal approximation of Poisson functionals
- Central limit theorems for double Poisson integrals
- Spectral representations of infinitely divisible processes
- Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages
- On the asymptotic distributions of partial sums of functionals of infinite-variance moving averages
- Representations and isomorphism identities for infinitely divisible processes
- On high-frequency limits of \(U\)-statistics in Besov spaces over compact manifolds
- Stable limits of empirical processes of moving averages with infinite variance.
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- Decomposition of self-similar stable mixed moving averages
- The structure of self-similar stable mixed moving averages
- Fractional ARIMA with stable innovations
- Multivariate normal approximation on the Wiener space: new bounds in the convex distance
- Continuous Breuer-Major theorem: tightness and nonstationarity
- On limit theory for functionals of stationary increments Lévy driven moving averages
- Central limit theorems for \(U\)-statistics of Poisson point processes
- Fine Gaussian fluctuations on the Poisson space. II: Rescaled kernels, marked processes and geometric \(U\)-statistics
- Perturbation analysis of Poisson processes
- Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
- New Berry-Esseen bounds for non-linear functionals of Poisson random measures
- Gaussian approximation of nonlinear statistics on the sphere
- Fractional Lévy processes with an application to long memory moving average processes
- Normal Approximations with Malliavin Calculus
- An Introduction to Stein's Method
- Moments and Central Limit Theorems for Some Multivariate Poisson Functionals
- Long-Range Dependence and Self-Similarity
- Lectures on the Poisson Process