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Start Over Author "Privault, Nicolas" Search Limiters Peer Reviewed Topic cumulants Journal alea. latin american journal of probability & mathematical statistics

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1. Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions.

Author

Privault, Nicolas

Subjects
*APPROXIMATION theory, *STEIN manifolds, *POISSON processes, *CUMULANTS, *EDGEWORTH expansions
Abstract

We derive normal approximation bounds by the Stein method for stochastic integrals with respect to a Poisson random measure over ℝd, d ≥ 2. This approach relies on third cumulant Edgeworth-type expansions based on derivation operators defined by the Malliavin calculus for Poisson random measures. The use of third cumulants can exhibit faster convergence rates than the standard Berry- Esseen rate for some sequences of Poisson stochastic integrals. [ABSTRACT FROM AUTHOR]

Published
2018
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