Stein's method and normal approximation of Poisson functionals

DOI10.1214/09-AOP477zbMath1195.60037arXiv0807.5035OpenAlexW2004014168MaRDI QIDQ964773

Giovanni Peccati, Murad S. Taqqu, Frederic Utzet, Josep Lluís Solé

Publication date: 21 April 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.5035

zbMATH Keywords

Malliavin calculusStein's methodPoisson measureOrnstein-Uhlenbeck processnormal approximationWasserstein distance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Related Items (60)

Second Order Analysis of Geometric Functionals of Boolean Models ⋮ Normal approximation of Poisson functionals in Kolmogorov distance ⋮ Stein approximation for multidimensional Poisson random measures by third cumulant expansions ⋮ Spatio-Temporal Modelling of Progression of the COVID–19 Pandemic ⋮ Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences ⋮ Quantitative clts on a gaussian space: a survey of recent developments ⋮ Gaussian approximation of nonlinear statistics on the sphere ⋮ On normal approximations for the two-sample problem on multidimensional tori ⋮ Berry-Esseen bounds for functionals of independent random variables ⋮ Variance asymptotics and central limit theory for geometric functionals of Poisson cylinder processes ⋮ The fourth moment theorem on the Poisson space ⋮ The Malliavin-Stein method for Hawkes functionals ⋮ Normal approximation for generalizedU-statistics and weighted random graphs ⋮ A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process ⋮ A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages ⋮ The Malliavin–Stein Method on the Poisson Space ⋮ U-Statistics in Stochastic Geometry ⋮ U-Statistics on the Spherical Poisson Space ⋮ Multidimensional limit theorems for homogeneous sums: A survey and a general transfer principle ⋮ Introduction to Stochastic Geometry ⋮ Normal approximation in total variation for statistics in geometric probability ⋮ Normal approximation of compound Hawkes functionals ⋮ Modeling LEAST RECENTLY USED caches with Shot Noise request processes ⋮ Central limit theorems for \(U\)-statistics of Poisson point processes ⋮ An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications ⋮ Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos ⋮ Unnamed Item ⋮ Fine Gaussian fluctuations on the Poisson space. II: Rescaled kernels, marked processes and geometric \(U\)-statistics ⋮ Quantitative CLTs for symmetric \(U\)-statistics using contractions ⋮ Universal Gaussian fluctuations on the discrete Poisson chaos ⋮ Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions ⋮ Fourth moment theorems for Markov diffusion generators ⋮ Distances between Poisson \(k\)-flats ⋮ Normal convergence using Malliavin calculus with applications and examples ⋮ Malliavin-Stein method: a survey of some recent developments ⋮ On high-frequency limits of \(U\)-statistics in Besov spaces over compact manifolds ⋮ Quantitative central limit theorems for Mexican needlet coefficients on circular Poisson fields ⋮ Stein approximation for functionals of independent random sequences ⋮ Fourth moment theorems on the Poisson space in any dimension ⋮ The Gamma Stein equation and noncentral de Jong theorems ⋮ Normal approximation and almost sure central limit theorem for non-symmetric Rademacher functionals ⋮ Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle ⋮ Chaos of a Markov operator and the fourth moment condition ⋮ Simplicial Homology of Random Configurations ⋮ Moments and Central Limit Theorems for Some Multivariate Poisson Functionals ⋮ A central limit theorem for the Poisson-Voronoi approximation ⋮ Normal approximations for wavelet coefficients on spherical Poisson fields ⋮ Malliavin and Dirichlet structures for independent random variables ⋮ Poisson process Fock space representation, chaos expansion and covariance inequalities ⋮ Multivariate second order Poincaré inequalities for Poisson functionals ⋮ Multivariate normal approximation for functionals of random polytopes ⋮ Berry-Esseen theorems under weak dependence ⋮ 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 ⋮ Stable limit theorems on the Poisson space ⋮ Third cumulant Stein approximation for Poisson stochastic integrals ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus ⋮ Quantitative two-scale stabilization on the Poisson space ⋮ Second-order properties and central limit theorems for geometric functionals of Boolean models ⋮ Limit theory for the Gilbert graph

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stein's method on Wiener chaos
• Canonical Lévy process and Malliavin calculus
• A new method of normal approximation
• Linear and quadratic functionals of random hazard rates: An asymptotic analysis
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• A semi-parametric Bayesian analysis of survival data based on Lévy-driven processes
• Central limit theorems for double Poisson integrals
• Second order Poincaré inequalities and CLTs on Wiener space
• On the principle of conditioning and convergence to mixtures of distributions for sums of dependent random variables
• On Lévy processes, Malliavin calculus and market models with jumps
• Duality formulas on the Poisson space
• Asymptotics for posterior hazards
• Stable convergence of generalized \(L^{2}\) stochastic integrals and the principle of conditioning
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• Introductory lectures on fluctuations of Lévy processes with applications.
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• The Malliavin Calculus and Related Topics
• On Extended Stochastic Intervals
• Real Analysis and Probability

This page was built for publication: Stein's method and normal approximation of Poisson functionals