Multivariate normal approximation using Stein's method and Malliavin calculus

Simple item page
dc.creatorNourdin, Ivan
dc.creatorPeccati, Giovanni
dc.creatorRéveillac, Anthony
dc.date2008-04-11
dc.date2008-11-19
dc.date.accessioned2026-07-07T10:19:02Z
dc.date.available2026-07-07T10:19:02Z
dc.descriptionWe 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.
dc.description18 pages
dc.identifierhttps://arxiv.org/abs/0804.1889
dc.identifierhttp://arxiv.org/abs/0804.1889
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/174362
dc.subjectProbability
dc.titleMultivariate normal approximation using Stein's method and Malliavin calculus
dc.typetext

Files

Collections

arXiv