Corpus ID: 111379911

On the Rate of Convergence to a Gamma Distribution on Wiener Space

@article{Azmoodeh2018OnTR,
  title={On the Rate of Convergence to a Gamma Distribution on Wiener Space},
  author={E. Azmoodeh and P. Eichelsbacher and L. Knichel},
  journal={arXiv: Probability},
  year={2018}
}
In [NP09a], Nourdin and Peccati established a neat characterization of Gamma approximation on a fixed Wiener chaos in terms of convergence of only the third and fourth cumulants. In this paper, we investigate the rate of convergence in Gamma approximation on Wiener chaos in terms of the iterated Gamma operators of Malliavin Calculus. On the second Wiener chaos, our upper bound can be further extended to an exact rate of convergence in a suitable probability metric $d_2$ in terms of the maximum… Expand
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