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arxiv: 1206.3967 · v3 · pith:2AL724FHnew · submitted 2012-06-18 · 🧮 math.PR

Normal approximation of Poisson functionals in Kolmogorov distance

classification 🧮 math.PR
keywords distancepoissonboundkolmogorovwassersteinconvergencefunctionalfunctionals
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Peccati, Sole, Taqqu, and Utzet recently combined Stein's method and Malliavin calculus to obtain a bound for the Wasserstein distance of a Poisson functional and a Gaussian random variable. Convergence in the Wasserstein distance always implies convergence in the Kolmogorov distance at a possibly weaker rate. But there are many examples of central limit theorems having the same rate for both distances. The aim of this paper is to show this behaviour for a large class of Poisson functionals, namely so-called U-statistics of Poisson point processes. The technique used by Peccati et al. is modified to establish a similar bound for the Kolmogorov distance of a Poisson functional and a Gaussian random variable. This bound is evaluated for a U-statistic, and it is shown that the resulting expression is up to a constant the same as it is for the Wasserstein distance.

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