Normal approximation of Poisson functionals in Kolmogorov distance

DOI10.1007/S10959-014-0576-6MaRDI QIDQ270201zbMATH OpenOpenAlexWikidataFDO

Authors Matthias Schulte

Publication date 7 April 2016

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.3967, https://boris.unibe.ch/93226/8/NormalApproximationOfPoissonFunctionalsInKolmogorovDistance.pdf

zbMATH Keywords

\(U\)-statisticscentral limit theoremMalliavin calculusPoisson point processStein's methodWiener-Itō chaos expansion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Peccati, Sole, Taqqu, and Utzet recently combined Stein's method and Malliavin calculus to obtain a bound for the Wasserstein distance of a Poisson functional and a Gaussian random variable. Convergence in the Wasserstein distance always implies convergence in the Kolmogorov distance at a possibly weaker rate. But there are many examples of central limit theorems having the same rate for both distances. The aim of this paper is to show this behaviour for a large class of Poisson functionals, namely so-called U-statistics of Poisson point processes. The technique used by Peccati et al. is modified to establish a similar bound for the Kolmogorov distance of a Poisson functional and a Gaussian random variable. This bound is evaluated for a U-statistic, and it is shown that the resulting expression is up to a constant the same as it is for the Wasserstein distance.

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Cited in

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• Normal approximation for stabilizing functionals
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