Multivariate normal approximation using Stein’s method and Malliavin calculus
Nourdin, Ivan ; Peccati, Giovanni ; Réveillac, Anthony
Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, p. 45-58 / Harvested from Project Euclid
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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.
Publié le : 2010-02-15
Classification:  Breuer–Major CLT,  fractional Brownian motion,  Gaussian processes,  Malliavin calculus,  Normal approximation,  Stein’s method,  Wasserstein distance,  60F05,  60G15,  60H07 
@article{1267454107,
     author = {Nourdin, Ivan and Peccati, Giovanni and R\'eveillac, Anthony},
     title = {Multivariate normal approximation using Stein's method and Malliavin calculus},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {46},
     number = {1},
     year = {2010},
     pages = { 45-58},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1267454107}
}

Nourdin, Ivan; Peccati, Giovanni; Réveillac, Anthony. Multivariate normal approximation using Stein’s method and Malliavin calculus. Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, pp.  45-58. http://gdmltest.u-ga.fr/item/1267454107/