Multivariate normal approximation using Stein's method and Malliavin calculus
From MaRDI portal
Publication:974767
DOI10.1214/08-AIHP308zbMATH Open1196.60035arXiv0804.1889OpenAlexW2090343294MaRDI QIDQ974767FDOQ974767
Ivan Nourdin, Anthony Réveillac, Giovanni Peccati
Publication date: 7 June 2010
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We combine Stein's method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of Gaussian fields. Our results generalize and refine the main findings by Peccati and Tudor (2005), Nualart and Ortiz-Latorre (2007), Peccati (2007) and Nourdin and Peccati (2007b, 2008); in particular, they apply to approximations by means of Gaussian vectors with an arbitrary, positive definite covariance matrix. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion.
Full work available at URL: https://arxiv.org/abs/0804.1889
Recommendations
Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05)
Cites Work
- The Malliavin Calculus and Related Topics
- Real Analysis and Probability
- Fluctuations of eigenvalues and second order Poincaré inequalities
- Central limit theorems for non-linear functionals of Gaussian fields
- Central limit theorems for sequences of multiple stochastic integrals
- CLT and other limit theorems for functionals of Gaussian processes
- Stein's method on Wiener chaos
- Title not available (Why is that?)
- Stein's method for diffusion approximations
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On the rate of convergence in the multivariate CLT
- Noncentral convergence of multiple integrals
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Gaussian approximations of multiple integrals
Cited In (65)
- On Stein's method for multivariate self-decomposable laws
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- Stein operators for variables form the third and fourth Wiener chaoses
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- On algebraic Stein operators for Gaussian polynomials
- Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
- On Stein's method for multivariate self-decomposable laws with finite first moment
- Functional limit theorems for generalized variations of the fractional Brownian sheet
- Classical and free fourth moment theorems: universality and thresholds
- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
- A MULTIVARIATE VERSION OF STEIN'S IDENTITY WITH APPLICATIONS TO MOMENT CALCULATIONS AND ESTIMATION OF CONDITIONALLY SPECIFIED DISTRIBUTIONS
- Measuring sample quality with diffusions
- Multivariate second order Poincaré inequalities for Poisson functionals
- Stein’s method of normal approximation for dynamical systems
- Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula
- Chaos of a Markov operator and the fourth moment condition
- Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
- On the fourth moment theorem for complex multiple Wiener–Itô integrals
- Multidimensional limit theorems for homogeneous sums: A survey and a general transfer principle
- Malliavin Calculus and Self Normalized Sums
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Stein kernels and moment maps
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
- Total variation distance between stochastic polynomials and invariance principles
- KOLMOGOROV DISTANCE FOR MULTIVARIATE NORMAL APPROXIMATION
- A new central limit theorem and decomposition for Gaussian polynomials, with an application to deterministic approximate counting
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Bernstein-Jackson inequalities on Gaussian Hilbert spaces
- Approximation of Hilbert-valued gaussians on Dirichlet structures
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Stability of the Poincaré constant
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- On the Gaussian approximation of vector-valued multiple integrals
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- Lectures on Gaussian Approximations with Malliavin Calculus
- Regularization lemmas and convergence in total variation
- Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
- Entropy and the fourth moment phenomenon
- Fluctuations for matrix-valued Gaussian processes
- Group representations and high-resolution central limit theorems for subordinated spherical random fields
- Approximate central limit theorems
- Second order Poincaré inequalities and CLTs on Wiener space
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- Hermite variations of the fractional Brownian sheet
- Stein's method and a quantitative Lindeberg CLT for the Fourier transforms of random vectors
- Comparison inequalities on Wiener space
- Convergence of densities of some functionals of Gaussian processes
- Universal Gaussian fluctuations on the discrete Poisson chaos
- Multivariate normal approximation on the Wiener space: new bounds in the convex distance
- The Malliavin-Stein method for Hawkes functionals
- On Stein's method for infinite-dimensional Gaussian approximation in abstract Wiener spaces
- Quantitative clts on a gaussian space: a survey of recent developments
- Cumulants on the Wiener space
- Stein's method and multinomial approximation
- Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus
- Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
- Title not available (Why is that?)
- WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE
- A first-order Stein characterization for absolutely continuous bivariate distributions
- Normal convergence using Malliavin calculus with applications and examples
- Vector-valued statistics of binomial processes: Berry-Esseen bounds in the convex distance
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- Stein's method for conditional central limit theorem
- Title not available (Why is that?)
- Superconvergence phenomenon in Wiener chaoses
This page was built for publication: Multivariate normal approximation using Stein's method and Malliavin calculus
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q974767)
