Stein’s method and Normal approximation of Poisson functionals
Open Access
- 1 March 2010
- journal article
- research article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 38 (2), 443-478
- https://doi.org/10.1214/09-aop477
Abstract
We combine Stein’s method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry–Esséen bounds in Central limit theorems (CLTs) involving multiple Wiener–Itô integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein–Uhlenbeck Lévy processes.Keywords
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