Berry-Esseen bounds for functionals of independent random variables

• Main Authors: Privault, Nicolas, Serafin, Grzegorz
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Stein-Chen Method; Berry-Esseen Bounds
• Online Access: https://hdl.handle.net/10356/161292
• Institution: Nanyang Technological University

We derive Berry-Esseen approximation bounds for general functionals of independent random variables, based on a continuous-time integration by parts setting and discrete chaos expansions methods. Our approach improves on related results obtained in discrete-time integration by parts settings and applies to U-statistics satisfying the weak assumption of decomposability in the Hoeffding sense, and yield Kolmogorov distance bounds instead of the Wasserstein bounds previously derived in the special case of degenerate U-statistics. Linear and quadratic functionals of arbitrary sequences of independent random variables are included as particular cases, with new fourth moment bounds, and applications are given to Hoeffding decompositions, weighted U-statistics, quadratic forms, and random subgraph weighing. In the case of quadratic forms, our results recover and improve the bounds available in the literature, and apply to matrices with non-empty diagonals.