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Multivariate normal approximation using Stein's method and Malliavin calculus.
- Source :
-
Annales de l'Institut Henri Poincare (B) Probability & Statistics . Feb2010, Vol. 46 Issue 1, p45-48. 4p. - Publication Year :
- 2010
-
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. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02460203
- Volume :
- 46
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Annales de l'Institut Henri Poincare (B) Probability & Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 49713529
- Full Text :
- https://doi.org/10.1214/08-AIHP308