Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
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Abstract: Given a reference random variable, we study the solution of its Stein equation and obtain universal bounds on its first and second derivatives. We then extend the analysis of Nourdin and Peccati by bounding the Fortet-Mourier and Wasserstein distances from more general random variables such as members of the Exponential and Pearson families. Using these results, we obtain non-central limit theorems, generalizing the ideas applied to their analysis of convergence to Normal random variables. We do these in both Wiener space and the more general Wiener-Poisson space. In the former, we study conditions for convergence under several particular cases and characterize when two random variables have the same distribution. As an example, we apply this tool to bilinear functionals of Gaussian subordinated fields where the underlying process is a fractional Brownian motion with Hurst parameter bigger than 1/2. In the latter space we give suficient conditions for a sequence of multiple (Wiener-Poisson) integrals to converge to a Normal random variable.
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Cites work
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- Stein's method on Wiener chaos
- The Malliavin Calculus and Related Topics
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Cited in
(16)- A bound on the Wasserstein-2 distance between linear combinations of independent random variables
- Stein operators for variables form the third and fourth Wiener chaoses
- On algebraic Stein operators for Gaussian polynomials
- Quantitative stable limit theorems on the Wiener space
- Optimal gamma approximation on Wiener space
- Stein's method for functions of multivariate normal random variables
- Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
- Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
- Normal convergence using Malliavin calculus with applications and examples
- Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Asymptotic expansion of Skorohod integrals
- Four moments theorems on Markov chaos
- Stein characterizations for linear combinations of gamma random variables
- The Gamma Stein equation and noncentral de Jong theorems
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