Yong Chen

Optimal Sobolev Rate for Gaussian Density Approximation of Wiener Chaos Vectors

Let $(F_n)$ be a sequence of random vectors with identity covariance matrix whose components belong to the same fixed Wiener chaos, and assume that $F_n$ converges in law to a standard Gaussian vector. We prove that, for every integer $m\geq0$ and every $p\in[1,\infty]$, the optimal rate of convergence of the densities...