Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue ALEA : Latin American Journal of Probability and Mathematical Statistics Année : 2012

Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants

Résumé

Let {F_n} be a normalized sequence of random variables in some fixed Wiener chaos associated with a general Gaussian field, and assume that E[F_n^4] --> E[N^4]=3, where N is a standard Gaussian random variable. Our main result is the following general bound: there exist two finite constants c,C>0 such that, for n sufficiently large, c max(|E[F_n^3]|, E[F_n^4]-3) < d(F_n,N) < C max(|E[F_n^3]|, E[F_n^4]-3), where d(F_n,N) = sup |E[h(F_n)] - E[h(N)]|, and h runs over the class of all real functions with a second derivative bounded by 1. This shows that the deterministic sequence max(|E[F_n^3]|, E[F_n^4]-3) completely characterizes the rate of convergence (with respect to smooth distances) in CLTs involving chaotic random variables. These results are used to determine optimal rates of convergence in the Breuer-Major central limit theorem, with specific emphasis on fractional Gaussian noise.
Fichier principal
Vignette du fichier
BBNP.pdf (315.63 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00620384 , version 1 (07-09-2011)

Identifiants

Citer

Hermine Biermé, Aline Bonami, Ivan Nourdin, Giovanni Peccati. Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants. ALEA : Latin American Journal of Probability and Mathematical Statistics, 2012, 9 (2), pp.473-500. ⟨10.48550/arXiv.1109.1546⟩. ⟨hal-00620384⟩
450 Consultations
120 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More