Stein's method and normal approximation of Poisson functionals
Probability
2008-08-01 v1
Abstract
We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Ess\'een bounds in Central Limit Theorems (CLTs) involving multiple Wiener-It\^o integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein-Uhlenbeck L\'evy processes.
Cite
@article{arxiv.0807.5035,
title = {Stein's method and normal approximation of Poisson functionals},
author = {Giovanni Peccati and Josep Lluís Solé and Murad S. Taqqu and Frederic Utzet},
journal= {arXiv preprint arXiv:0807.5035},
year = {2008}
}
Comments
32 pages