Normal approximation of Poisson functionals in Kolmogorov distance

DOI10.1007/S10959-014-0576-6zbMATH Open1335.60027arXiv1206.3967OpenAlexW2028534697WikidataQ101138486 ScholiaQ101138486MaRDI QIDQ270201FDOQ270201

Matthias Schulte

Publication date: 7 April 2016

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

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.

Full work available at URL: https://arxiv.org/abs/1206.3967

Recommendations

• Stein's method and normal approximation of Poisson functionals
• Multivariate second order Poincaré inequalities for Poisson functionals
• 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
• KOLMOGOROV DISTANCE FOR MULTIVARIATE NORMAL APPROXIMATION

zbMATH Keywords

Malliavin calculus\(U\)-statisticscentral limit theoremStein's methodPoisson point process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Wiener-It%EF%BF%BD%EF%BF%BD+chaos+expansion&go=Go Wiener-It�� chaos expansion]

Mathematics Subject Classification ID

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

Cites Work

• Normal Approximation by Stein’s Method
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• 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
• Title not available (Why is that?)
• Fine Gaussian fluctuations on the Poisson space. I: Contractions, cumulants and geometric random graphs
• Title not available (Why is that?)
• Moments and Central Limit Theorems for Some Multivariate Poisson Functionals
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Stein's method and normal approximation of Poisson functionals
• Limit theory for the Gilbert graph
• Perturbation analysis of Poisson processes
• New Berry-Esseen bounds for non-linear functionals of Poisson random measures
• Title not available (Why is that?)
• Distances between Poisson \(k\)-flats
• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization

Cited In (26)

• U-Statistics in Stochastic Geometry
• Fourth moment theorems on the Poisson space in any dimension
• On the rate of normal approximation for Poisson continuum percolation
• Poisson Point Process Convergence and Extreme Values in Stochastic Geometry
• Distances between Poisson \(k\)-flats
• Classical and free fourth moment theorems: universality and thresholds
• Normal approximation of subgraph counts in the random-connection model
• Title not available (Why is that?)
• Multivariate second order Poincaré inequalities for Poisson functionals
• Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
• The Malliavin–Stein Method on the Poisson Space
• Normal and poisson approximation of infinitely divisible distribution functions
• Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
• Does a central limit theorem hold for the \(k\)-skeleton of Poisson hyperplanes in hyperbolic space?
• The fourth moment theorem on the Poisson space
• A quantitative central limit theorem for Poisson horospheres in high dimensions
• Intersections of Poisson \(k\)-flats in constant curvature spaces
• Central limit theorems and asymptotic independence for local \(U\)-statistics on diverging halfspaces
• Limit theory for the Gilbert graph
• Normal approximation for stabilizing functionals
• Moderate deviations on Poisson chaos
• Quantitative two-scale stabilization on the Poisson space
• Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
• Multivariate central limit theorems for random simplicial complexes
• Convergence rate for geometric statistics of point processes having fast decay of dependence
• Normal approximation in total variation for statistics in geometric probability

This page was built for publication: Normal approximation of Poisson functionals in Kolmogorov distance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q270201)