Malliavin calculus and self normalized sums

DOI10.1007/978-3-319-00321-4_13zbMATH Open1286.60021arXiv1107.0410OpenAlexW1510528428MaRDI QIDQ2865113FDOQ2865113

Authors: Solesne Bourguin, Ciprian A. Tudor 

Publication date: 28 November 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Abstract: We study the self-normalized sums of independent random variables from the perspective of the Malliavin calculus. We give the chaotic expansion for them and we prove a Berry-Ess'een bound with respect to several distances.

Full work available at URL: https://arxiv.org/abs/1107.0410

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zbMATH Keywords

chaos expansionself-normalized sumBerry-Esséen bound

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Self-Normalized Processes
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• When is the Student \(t\)-statistic asymptotically standard normal?
• Exact convergence rate and leading term in central limit theorem for Student's \(t\) statistic.
• The Berry-Esseen bound for Student's statistic
• A Berry-Esséen bound for Student's statistic in the non-i. i. d. case
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Stein's method meets Malliavin calculus: a short survey with new estimates
• Some processes associated with fractional Bessel processes
• Berry-Esseen bounds for statistics of weakly dependent samples
• Title not available (Why is that?)
• Berry-Esséen bounds for long memory moving averages via Stein's method and Malliavin calculus

Cited In (1)

• Exact bounds on the closeness between the Student and standard normal distributions

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