Multivariate normal approximation using Stein's method and Malliavin calculus Export

@misc{citeulike:2674223, abstract = {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. Our results generalize and refine the main findings by Peccati and Tudor (2005), Nualart and Ortiz-Latorre (2007), Peccati (2007) and Nourdin and Peccati (2007b, 2008); in particular, they apply to approximations by means of Gaussian vectors with an arbitrary, positive definite covariance matrix. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion.}, archivePrefix = {arXiv}, author = {Nourdin, Ivan and Peccati, Giovanni and R\&\#xe9;veillac, Anthony}, citeulike-article-id = {2674223}, citeulike-linkout-0 = {http://arxiv.org/abs/0804.1889}, citeulike-linkout-1 = {http://arxiv.org/pdf/0804.1889}, day = {11}, eprint = {0804.1889}, keywords = {malliavin-calculus, stein-method}, month = {Apr}, posted-at = {2008-04-15 18:16:17}, priority = {2}, title = {Multivariate normal approximation using Stein's method and Malliavin calculus}, url = {http://arxiv.org/abs/0804.1889}, year = {2008} }

TY - ELEC ID - citeulike:2674223 L3 - citeulike-article-id:2674223 N2 - 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. Our results generalize and refine the main findings by Peccati and Tudor (2005), Nualart and Ortiz-Latorre (2007), Peccati (2007) and Nourdin and Peccati (2007b, 2008); in particular, they apply to approximations by means of Gaussian vectors with an arbitrary, positive definite covariance matrix. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion. TI - Multivariate normal approximation using Stein's method and Malliavin calculus KW - malliavin-calculus KW - stein-method AU - Nourdin, Ivan AU - Peccati, Giovanni AU - Réveillac, Anthony PY - 2008/Apr/11/ UR - http://arxiv.org/abs/0804.1889 ER -