The Annals of Probability
- Ann. Probab.
- Volume 37, Number 6 (2009), 2231-2261.
Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields
We show how to detect optimal Berry–Esseen bounds in the normal approximation of functionals of Gaussian fields. Our techniques are based on a combination of Malliavin calculus, Stein’s method and the method of moments and cumulants, and provide de facto local (one-term) Edgeworth expansions. The findings of the present paper represent a further refinement of the main results proven in Nourdin and Peccati [Probab. Theory Related Fields 145 (2009) 75–118]. Among several examples, we discuss three crucial applications: (i) to Toeplitz quadratic functionals of continuous-time stationary processes (extending results by Ginovyan [Probab. Theory Related Fields 100 (1994) 395–406] and Ginovyan and Sahakyan [Probab. Theory Related Fields 138 (2007) 551–579]); (ii) to “exploding” quadratic functionals of a Brownian sheet; and (iii) to a continuous-time version of the Breuer–Major CLT for functionals of a fractional Brownian motion.
Ann. Probab., Volume 37, Number 6 (2009), 2231-2261.
First available in Project Euclid: 16 November 2009
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Berry–Esseen bounds Breuer–Major CLT Brownian sheet fractional Brownian motion local Edgeworth expansions Malliavin calculus multiple stochastic integrals normal approximation optimal rates quadratic functionals Stein’s method Toeplitz quadratic forms
Nourdin, Ivan; Peccati, Giovanni. Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields. Ann. Probab. 37 (2009), no. 6, 2231--2261. doi:10.1214/09-AOP461. https://projecteuclid.org/euclid.aop/1258380788