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Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions.
- Source :
-
ALEA. Latin American Journal of Probability & Mathematical Statistics . 2018, Vol. 15, p1141-1161. 21p. - Publication Year :
- 2018
-
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]
Details
- Language :
- English
- ISSN :
- 19800436
- Volume :
- 15
- Database :
- Academic Search Index
- Journal :
- ALEA. Latin American Journal of Probability & Mathematical Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 134104927
- Full Text :
- https://doi.org/10.30757/ALEA.v15-42