Higher order expansions via Stein method

Abstract

This paper is a sequel of \cite{CD:2012}. We show how to establish a functional Edgeworth expansion of any order thanks to the Stein method. We apply the procedure to the Brownian approximation of compensated Poisson process and to the linear interpolation of the Brownian motion. It is then apparent that these two expansions are of rather different form.

arXiv admin note: text overlap with arXiv:1207.3517