Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields

DOI10.1214/09-AOP461zbMATH Open1196.60034arXiv0803.0458MaRDI QIDQ971939FDOQ971939

Authors: Ivan Nourdin, Giovanni Peccati 

Publication date: 17 May 2010

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

Abstract: We show how to detect optimal Berry--Esseen bounds in the normal approximation of functionals of Gaussian fields. Our techniques are based on a combination of Malliavin calculus, Stein's method and the method of moments and cumulants, and provide de facto local (one-term) Edgeworth expansions. The findings of the present paper represent a further refinement of the main results proven in Nourdin and Peccati [Probab. Theory Related Fields 145 (2009) 75--118]. Among several examples, we discuss three crucial applications: (i) to Toeplitz quadratic functionals of continuous-time stationary processes (extending results by Ginovyan [Probab. Theory Related Fields 100 (1994) 395--406] and Ginovyan and Sahakyan [Probab. Theory Related Fields 138 (2007) 551--579]); (ii) to ``exploding quadratic functionals of a Brownian sheet; and (iii) to a continuous-time version of the Breuer--Major CLT for functionals of a fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/0803.0458

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zbMATH Keywords

Malliavin calculusnormal approximationfractional Brownian motionStein's methodBerry-Esseen boundsmultiple stochastic integralsquadratic functionalsBrownian sheetoptimal ratesBreuer-Major CLTlocal Edgeworth expansionsToeplitz quadratic forms

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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Cited In (58)

• On the area of excursion sets of spherical Gaussian eigenfunctions
• Convergence rate of maximum likelihood estimator of parameter in stochastic partial differential equation
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities
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• Estimation of local anisotropy based on level sets
• How does tempering affect the local and global properties of fractional Brownian motion?
• Quantitative fourth moment theorem of functions on the Markov triple and orthogonal polynomials
• On rate of convergence in non-central limit theorems
• Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
• The optimal fourth moment theorem
• Stein's method and normal approximation of Poisson functionals
• Fourth moment bound and stationary Gaussian processes with positive correlation
• On the rate of convergence for central limit theorems of sojourn times of Gaussian fields
• Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
• An Edgeworth expansion for functionals of Gaussian fields and its applications
• Quantitative Breuer-Major theorems
• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Berry-Esseen theorems under weak dependence
• Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
• Oscillating Gaussian processes
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• New Berry-Esseen bounds for functionals of binomial point processes
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• The optimal third moment theorem
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• The trace problem for Toeplitz matrices and operators and its impact in probability
• Stochastic analysis of Gaussian processes via Fredholm representation
• An improved second-order Poincaré inequality for functionals of Gaussian fields
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• Normal approximation on a finite Wiener chaos
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• Optimal rate of convergence for vector-valued Wiener-Itô integral
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes

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