English

Normal approximation of Poisson functionals in Kolmogorov distance

Probability 2014-09-09 v3

Abstract

Peccati, Sole, Taqqu, and Utzet recently combined Stein's method and Malliavin calculus to obtain a bound for the Wasserstein distance of a Poisson functional and a Gaussian random variable. Convergence in the Wasserstein distance always implies convergence in the Kolmogorov distance at a possibly weaker rate. But there are many examples of central limit theorems having the same rate for both distances. The aim of this paper is to show this behaviour for a large class of Poisson functionals, namely so-called U-statistics of Poisson point processes. The technique used by Peccati et al. is modified to establish a similar bound for the Kolmogorov distance of a Poisson functional and a Gaussian random variable. This bound is evaluated for a U-statistic, and it is shown that the resulting expression is up to a constant the same as it is for the Wasserstein distance.

Keywords

Cite

@article{arxiv.1206.3967,
  title  = {Normal approximation of Poisson functionals in Kolmogorov distance},
  author = {Matthias Schulte},
  journal= {arXiv preprint arXiv:1206.3967},
  year   = {2014}
}

Comments

To appear in Journal of Theoretical Probability

R2 v1 2026-06-21T21:21:21.744Z