Optimal Gamma Approximation on Wiener Space
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Publication:5208903
zbMath1471.60024arXiv1902.02658MaRDI QIDQ5208903
Lukas Knichel, Peter Eichelsbacher, Ehsan Azmoodeh
Publication date: 22 January 2020
Full work available at URL: https://arxiv.org/abs/1902.02658
weak convergencequadratic formMalliavin calculusStein's methodWiener chaosBerry-Esseen type boundsgamma approximationcumulants/momentssmooth Wasserstein distances
Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (8)
Optimal Gamma Approximation on Wiener Space ⋮ Stein factors for variance-gamma approximation in the Wasserstein and Kolmogorov distances ⋮ Bounds for the chi-square approximation of Friedman's statistic by Stein's method ⋮ Bounding Kolmogorov distances through Wasserstein and related integral probability metrics ⋮ Asymptotic normality for random simplices and convex bodies in high dimensions ⋮ Malliavin-Stein method: a survey of some recent developments ⋮ Fluctuations of the spectrum in rotationally invariant random matrix ensembles ⋮ Optimal variance-Gamma approximation on the second Wiener chaos
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