Normal approximations with Malliavin calculus : from Stein's method to universality
 Author/Creator
 Nourdin, Ivan.
 Language
 English.
 Imprint
 Cambridge [England] ; New York : Cambridge University Press, 2012.
 Physical description
 xiv, 239 p. : ill ; 23 cm.
 Series
 Cambridge tracts in mathematics ; 192.
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Contributors
 Contributor
 Peccati, Giovanni, 1975
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 227234) and index.
 Contents

 Preface Introduction 1. Malliavin operators in the onedimensional case 2. Malliavin operators and isonormal Gaussian processes 3. Stein's method for onedimensional normal approximations 4. Multidimensional Stein's method 5. Stein meets Malliavin: univariate normal approximations 6. Multivariate normal approximations 7. Exploring the BreuerMajor Theorem 8. Computation of cumulants 9. Exact asymptotics and optimal rates 10. Density estimates 11. Homogeneous sums and universality Appendix 1. Gaussian elements, cumulants and Edgeworth expansions Appendix 2. Hilbert space notation Appendix 3. Distances between probability measures Appendix 4. Fractional Brownian motion Appendix 5. Some results from functional analysis References Index.
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 Publisher's Summary
 Stein's method is a collection of probabilistic techniques that allow one to assess the distance between two probability distributions by means of differential operators. In 2007, the authors discovered that one can combine Stein's method with the powerful Malliavin calculus of variations, in order to deduce quantitative central limit theorems involving functionals of general Gaussian fields. This book provides an ideal introduction both to Stein's method and Malliavin calculus, from the standpoint of normal approximations on a Gaussian space. Many recent developments and applications are studied in detail, for instance: fourth moment theorems on the Wiener chaos, density estimates, BreuerMajor theorems for fractional processes, recursive cumulant computations, optimal rates and universality results for homogeneous sums. Largely selfcontained, the book is perfect for selfstudy. It will appeal to researchers and graduate students in probability and statistics, especially those who wish to understand the connections between Stein's method and Malliavin calculus.
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Bibliographic information
 Publication date
 2012
 Responsibility
 Ivan Nourdin, Giovanni Peccati.
 Series
 Cambridge tracts in mathematics ; 192
 ISBN
 9781107017771
 1107017777