Multivariate normal approximation using Stein's method and Malliavin calculus
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Publication:974767
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.
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Cites work
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Cited in
(78)- Approximate central limit theorems
- Fluctuations for matrix-valued Gaussian processes
- Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula
- Comparison inequalities on Wiener space
- Approximation of Hilbert-valued gaussians on Dirichlet structures
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- High-dimensional central limit theorems by Stein's method
- Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
- Multivariate second order Poincaré inequalities for Poisson functionals
- Stein's method in high dimensions with applications
- Convergence of densities of some functionals of Gaussian processes
- Universal Gaussian fluctuations on the discrete Poisson chaos
- On the fourth moment theorem for complex multiple Wiener–Itô integrals
- Stein's method and multinomial approximation
- Functional limit theorems for generalized variations of the fractional Brownian sheet
- Second order Poincaré inequalities and CLTs on Wiener space
- Regularization lemmas and convergence in total variation
- Stein's method for functions of multivariate normal random variables
- A MULTIVARIATE VERSION OF STEIN'S IDENTITY WITH APPLICATIONS TO MOMENT CALCULATIONS AND ESTIMATION OF CONDITIONALLY SPECIFIED DISTRIBUTIONS
- Chaos of a Markov operator and the fourth moment condition
- Quantitative Breuer-Major theorems
- Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
- Stein operators for variables form the third and fourth Wiener chaoses
- Total variation distance between stochastic polynomials and invariance principles
- Multivariate normal approximation on the Wiener space: new bounds in the convex distance
- Classical and free fourth moment theorems: universality and thresholds
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- A new central limit theorem and decomposition for Gaussian polynomials, with an application to deterministic approximate counting
- Multidimensional limit theorems for homogeneous sums: a survey and a general transfer principle
- On algebraic Stein operators for Gaussian polynomials
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Normal approximation for mixtures of normal distributions and the evolution of phenotypic traits
- On Stein's method for multivariate normal approximation
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- On the Gaussian approximation of vector-valued multiple integrals
- On Stein's method for multivariate self-decomposable laws
- Multi-dimensional Gaussian fluctuations on the Poisson space
- Hermite variations of the fractional Brownian sheet
- Measuring sample quality with diffusions
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
- Quantitative CLTs on a Gaussian space: a survey of recent developments
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Stein's method on Wiener chaos
- Stein's method and a quantitative Lindeberg CLT for the Fourier transforms of random vectors
- Cumulants on the Wiener space
- Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- On Stein's method for infinite-dimensional Gaussian approximation in abstract Wiener spaces
- Existence of Stein kernels under a spectral gap, and discrepancy bounds
- Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
- Higher-order Stein kernels for Gaussian approximation
- Group representations and high-resolution central limit theorems for subordinated spherical random fields
- Entropy and the fourth moment phenomenon
- Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
- Lectures on Gaussian Approximations with Malliavin Calculus
- On Stein's method for multivariate self-decomposable laws with finite first moment
- KOLMOGOROV DISTANCE FOR MULTIVARIATE NORMAL APPROXIMATION
- Stein kernels and moment maps
- Bernstein-Jackson inequalities on Gaussian Hilbert spaces
- A first-order Stein characterization for absolutely continuous bivariate distributions
- Quantitative multidimensional central limit theorems for means of the Dirichlet-Ferguson measure
- Normal convergence using Malliavin calculus with applications and examples
- Superconvergence phenomenon in Wiener chaoses
- Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
- Optimal rate of convergence for vector-valued Wiener-Itô integral
- Stability of the Poincaré constant
- Stein's method for conditional central limit theorem
- Normal approximation for white noise functionals by Stein's method and Hida calculus
- Multidimensional Stein method and quantitative asymptotic independence
- The Malliavin-Stein method for Hawkes functionals
- Malliavin calculus and self normalized sums
- WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE
- Stein's method of normal approximation for dynamical systems
- Berry-Esséen bounds for long memory moving averages via Stein's method and Malliavin calculus
- 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
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