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Multivariate normal approximation using Stein's method and Malliavin calculus.

Authors :
Nourdin, Ivan
Peccati, Giovanni
Réveillac, Anthony
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