Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data

In this talk we present a new upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that... [ view full abstract ]

In this talk we present a new upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that the maximum of multiple Wiener-Ito integrals with common orders is well-approximated by its Gaussian analog in terms of the Kolmogorov distance if their covariance matrices are close to each other and the maximum of the fourth cumulants of the multiple Wiener-Ito integrals is close to zero. We also present its application to high-frequency financial econometrics.