Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
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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.
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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
- Asymptotic behaviours for maximum likelihood estimator of drift parameter in \(\alpha\)-Wiener bridge process
- Optimal Berry-Esseen bound for parameter estimation of SPDE with small noise
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- Estimation of local anisotropy based on level sets
- How does tempering affect the local and global properties of fractional Brownian motion?
- Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
- Quantitative fourth moment theorem of functions on the Markov triple and orthogonal polynomials
- On rate of convergence in non-central limit theorems
- Stein's method and normal approximation of Poisson functionals
- The optimal fourth moment theorem
- Fourth moment bound and stationary Gaussian processes with positive correlation
- Normal approximation on a finite Wiener chaos
- On the rate of convergence for central limit theorems of sojourn times of Gaussian fields
- Quantitative Breuer-Major theorems
- An Edgeworth expansion for functionals of Gaussian fields and its applications
- Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
- 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
- Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
- Oscillating Gaussian processes
- New Berry-Esseen bounds for functionals of binomial point processes
- Multivariate normal approximation using Stein's method and Malliavin calculus
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
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- Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
- Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent
- A Berry-Esséen bound for \(H\)-variation of a Gaussian process
- Optimal rate of convergence for vector-valued Wiener-Itô integral
- KOLMOGOROV DISTANCE FOR MULTIVARIATE NORMAL APPROXIMATION
- The central limit theorem for cross-variation related to the standard Brownian sheet and Berry-Esseen bounds
- Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach
- Kolmogorov distance for the central limit theorems of the Wiener chaos expansion and applications
- Quantitative CLTs on a Gaussian space: a survey of recent developments
- Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application
- Conditional Stein approximation for Itô and Skorohod integrals
- The optimal third moment theorem
- Berry-Esséen bounds for long memory moving averages via Stein's method and Malliavin calculus
- New Berry-Esseen bounds for non-linear functionals of Poisson random measures
- The trace problem for Toeplitz matrices and operators and its impact in probability
- Stochastic analysis of Gaussian processes via Fredholm representation
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
- An improved second-order Poincaré inequality for functionals of Gaussian fields
- Modeling temporally uncorrelated components of complex-valued stationary processes
- Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
- Convergence of densities of some functionals of Gaussian processes
- Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
- Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
- Third cumulant Stein approximation for Poisson stochastic integrals
- The Berry-Esseen bound for identically distributed random variables by Stein method
- High-dimensional central limit theorems for homogeneous sums
- Cumulants on the Wiener space
- Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
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