Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields

Nourdin, Ivan ; Peccati, Giovanni

Ann. Probab., Tome 37 (2009) no. 1, p. 2231-2261 / Harvested from Project Euclid

Résumé

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.

Détail

Publié le : 2009-11-15
Classification:  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,  60F05,  60G15,  60H05,  60H07