Total variation distance between stochastic polynomials and invariance principles

DOI10.1214/19-AOP1346zbMATH Open1456.60070arXiv1705.05194OpenAlexW2990266091MaRDI QIDQ2189458FDOQ2189458

Vlad Bally, Lucia Caramellino

Publication date: 15 June 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: The goal of this paper is to estimate the total variation distance between two general stochastic polynomials. As a consequence one obtains an invariance principle for such polynomials. This generalizes known results concerning the total variation distance between two multiple stochastic integrals on one hand, and invariance principles in Kolmogorov distance for multi-linear stochastic polynomials on the other hand. As an application we first discuss the asymptotic behavior of U-statistics associated to polynomial kernels. Moreover we also give an example of CLT associated to quadratic forms.

Full work available at URL: https://arxiv.org/abs/1705.05194

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zbMATH Keywords

U-statisticsinvariance principlesabstract Malliavin calculusquadratic central limit theoremstochastic polynomials

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17)

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Cited In (9)

• Chebyshev--Hermite Polynomials and Distributions of Polynomials in Gaussian Random Variables
• Regularity of distributions of Sobolev mappings in abstract settings
• Fractional smoothness of images of logarithmically concave measures under polynomials
• Distributions of polynomials in Gaussian random variables under constraints on the powers of variables
• Berry-Esseen bounds for functionals of independent random variables
• Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
• Distributions of second order polynomials in Gaussian random variables
• An inequality between total variation and \(L^2\) distances for polynomials in log-concave random vectors
• Improved bounds for the total variation distance between stochastic polynomials

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