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2010 Stein's Method and Stochastic Analysis of Rademacher Functionals
Gesine Reinert, Ivan Nourdin, Giovanni Peccati
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Electron. J. Probab. 15: 1703-1742 (2010). DOI: 10.1214/EJP.v15-823

Abstract

We compute explicit bounds in the Gaussian approximation of functionals of infinite Rademacher sequences. Our tools involve Stein's method, as well as the use of appropriate discrete Malliavin operators. As the bounds are given in terms of Malliavin operators, no coupling construction is required. When the functional depends only on the first d coordinates of the Rademacher sequence, a simple sufficient condition for convergence to a normal distribution is derived. For finite quadratic forms, we obtain necessary and sufficient conditions. Although our approach does not require the classical use of exchangeable pairs, when the functional depends only on the first d coordinates of the Rademacher sequence we employ chaos expansion in order to construct an explicit exchangeable pair vector; the elements of the vector relate to the summands in the chaos decomposition and satisfy a linearity condition for the conditional expectation. Among several examples, such as random variables which depend on infinitely many Rademacher variables, we provide three main applications: (i) to CLTs for multilinear forms belonging to a fixed chaos, (ii) to the Gaussian approximation of weighted infinite 2-runs, and (iii) to the computation of explicit bounds in CLTs for multiple integrals over sparse sets. This last application provides an alternate proof (and several refinements) of a recent result by Blei and Janson.

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Gesine Reinert. Ivan Nourdin. Giovanni Peccati. "Stein's Method and Stochastic Analysis of Rademacher Functionals." Electron. J. Probab. 15 1703 - 1742, 2010. https://doi.org/10.1214/EJP.v15-823

Information

Accepted: 3 November 2010; Published: 2010
First available in Project Euclid: 1 June 2016

zbMATH: 1225.60046
MathSciNet: MR2735379
Digital Object Identifier: 10.1214/EJP.v15-823

Subjects:
Primary: 60F05
Secondary: 60F99, 60G50, 60H07

JOURNAL ARTICLE
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Vol.15 • 2010
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