Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus

DOI10.1080/07362994.2011.598799zbMath1236.60022arXiv1009.1217OpenAlexW2098247067MaRDI QIDQ3094226

Ciprian A. Tudor, Solesne Bourguin

Publication date: 21 October 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.1217

zbMATH Keywords

weak convergenceMalliavin calculuslong memorylimit theoremsmoving averagemultiple stochastic integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Related Items (1)

Malliavin Calculus and Self Normalized Sums

Cites Work

• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Stein's method on Wiener chaos
• Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
• Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
• Hsu-Robbins and Spitzer's theorems for the variations of fractional Brownian motion
• Time series: theory and methods.
• Limit theorems for functionals of moving averages
• The Malliavin Calculus and Related Topics
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields

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