Work

Berry-Esseen bounds in the Breuer-Major CLT and Gebelein’s inequality

Year: 2019

Type: article

Abstract: We derive explicit Berry-Esseen bounds in the total variation distance for the Breuer-Major central limit theorem, in the case of a subordinating function $\varphi $ satisfying minimal regularity assumptions. Our approach is based on the combination of the Malliavin-Stein approach for normal approximations with Gebelein’s inequality, bounding the covariance of functionals of Gaussian fields in terms of maximal correlation coefficients.

Source: Electronic Communications in Probability

DOI: 10.1214/19-ecp241

Authors: Ivan Nourdin, Giovanni Peccati, Xiaochuan Yang

Institution: University of Luxembourg

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

Funder: Université du Luxembourg