2020/02/26 by Ehsan Azmoodeh, Azmoodeh, Ehsan, Mathias Mørck Ljungdahl +3
Mathematics · #Markov Chains and Monte Carlo Methods #Random Matrices and Applications #Point processes and geometric inequalities
paper · pdf · doi:10.48550/arxiv.2002.11335
In this paper we extend the refined second-order Poincaré inequality for Poisson functionals from a one-dimensional to a multi-dimensional setting. Its proof is based on a multivariate version of the Malliavin-Stein method for normal approximation on Poisson spaces. We also present an application to partial sums of vector-valued functionals of heavy-tailed moving averages. The extension allows a functional with multivariate arguments, i.e. multiple moving averages and also multivariate values of the functional. Such a set-up has previously not been explored in the framework of stable moving average processes. It can potentially capture probabilistic properties which cannot be described solely by the one-dimensional marginals, but instead require the joint distribution.