Article ID Journal Published Year Pages File Type
10525775 Statistics & Probability Letters 2013 8 Pages PDF
Abstract
Using an approach recently developed by  Nourdin and Poly (2013), we improve the rate in an inequality for the total variation distance between two double Wiener-Itô integrals originally due to  Davydov and Martynova (1987). An application to the rate of convergence of a functional of a correlated two-dimensional fractional Brownian motion towards the Rosenblatt random variable is then given, following a previous study by  Maejima and Tudor (2012).
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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