Department of Mathematics

Probability

  •  Xiaochuan Yang, University of Luxembourg
  •  Berry-Esseen Bounds in the Breuer-Major Central Limit Theorem
  •  02/21/2019
  •  3:00 PM - 3:50 PM
  •  C405 Wells Hall

The Breuer-Major theorem provides sufficient conditions in order that a normalized sum of non-linear functionals of Gaussian random fields exhibits Gaussian fluctuation. Such a result has far-reaching applications in statistical inference of Gaussian models. In this talk, I will be focusing on the rate of convergence in the total variation distance of the Breuer-Major theorem. To this end, we apply Malliavin calculus (stochastic calculus of variation) techniques, Stein’s method for normal approximations, and Gebelein’s inequality for functionals of correlated Gaussian fields. Based on joint work with I. Nourdin and G. Peccati.

 

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Michigan State University
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