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

Solesne Bourguin (1) , Ciprian A. Tudor (2)

1 SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne)
2 LPP - Laboratoire Paul Painlevé - UMR 8524

Using the Stein method on Wiener chaos introduced by Nourdin and Peccati we prove Berry-Esséen bounds for long memory moving averages.

Domaines: Probabilités [math.PR]

Solesne Bourguin, Ciprian A. Tudor. Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus. Stochastic Analysis and Applications, 2011, 29 (5), pp.881-905. ⟨hal-00515476⟩