Asymptotic development for the CLT in total variation distance

DOI10.3150/15-BEJ734zbMATH Open1346.60016arXiv1407.0896MaRDI QIDQ726746FDOQ726746

Authors: Vlad Bally, Lucia Caramellino 

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: The aim of this paper is to study the asymptotic expansion in total variation in the Central Limit Theorem when the law of the basic random variable is locally lower-bounded by the Lebesgue measure (or equivalently, has an absolutely continuous component): we develop the error in powers of $n^{-1/2}$ and give an explicit formula for the approximating measure.

Full work available at URL: https://arxiv.org/abs/1407.0896

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zbMATH Keywords

central limit theoremintegration by partstotal variation distanceabstract Malliavin calculusregularizing functions

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Real Analysis and Probability
• Convergence in total variation on Wiener chaos
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Absolute continuity and convergence of densities for random vectors on Wiener chaos
• Analysis and geometry of Markov diffusion operators
• On the distances between probability density functions
• On Convergence in the Mean for Densities
• Berry-Esseen bounds in the entropic central limit theorem
• On the central limit theorem in 𝑅_{𝑘}
• Integration by parts formula and applications to equations with jumps
• An invariance principle under the total variation distance
• Berry-Esseen bounds for the multi-dimensional central limit theorem

Cited In (10)

• A bound on the Wasserstein-2 distance between linear combinations of independent random variables
• Total variation distance between stochastic polynomials and invariance principles
• Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor
• Rényi divergence and the central limit theorem
• Regularization lemmas and convergence in total variation
• Stable central limit theorem in total variation distance
• Kernel based Dirichlet sequences
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Normal approximation in total variation for statistics in geometric probability
• Improved bounds for the total variation distance between stochastic polynomials

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