We prove infinite-dimensional second order Poincare inequalities on Wiener space, thus closing a circle of ideas linking limit theorems for functionals of Gaussian fields, Steins method and Malliavin calculus. We provide two applications: (i) to a ne
w second order characterization of CLTs on a fixed Wiener chaos, and (ii) to linear functionals of Gaussian-subordinated fields.
It is proved that each Hoeffding space associated with a random permutation (or, equivalently, with extractions without replacement from a finite population) carries an irreducible representation of the symmetric group, equivalent to a two-block Specht module.
We combine Steins method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of Gaussian fields. Our results generalize and refine the main findings by P
eccati and Tudor (2005), Nualart and Ortiz-Latorre (2007), Peccati (2007) and Nourdin and Peccati (2007b, 2008); in particular, they apply to approximations by means of Gaussian vectors with an arbitrary, positive definite covariance matrix. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion.
This survey provides a unified discussion of multiple integrals, moments, cumulants and diagram formulae associated with functionals of completely random measures. Our approach is combinatorial, as it is based on the algebraic formalism of partition
lattices and Mobius functions. Gaussian and Poisson measures are treated in great detail. We also present several combinatorial interpretations of some recent CLTs involving sequences of random variables belonging to a fixed Wiener chaos.
Let G be a topological compact group acting on some space Y. We study a decomposition of Y-indexed stochastic processes, based on the orthogonality relations between the characters of the irreducible representations of G. In the particular case of a
Gaussian process with a G-invariant law, such a decomposition gives a very general explanation of a classic identity in law - between quadratic functionals of a Brownian bridge - due to Watson (1961). Several relations with Karhunen-Lo`{e}ve expansions are discussed, and some applications and extensions are given - in particular related to Gaussian processes indexed by a torus.
