Multivariate normal approximation on the Wiener space: new bounds in the convex distance

We establish explicit bounds on the convex distance between the distribution of a vector of smooth functionals of a Gaussian field, and that of a normal vector with a positive definite covariance matrix. Our bounds are commensurate to the ones obtained by Nourdin, Peccati and Réveillac (2010) for the (smoother) 1-Wasserstein distance, and do not involve any additional logarithmic factor. One of the main tools exploited in our work is a recursive estimate on the convex distance recently obtained by Schulte and Yukich (2019). We illustrate our abstract results in two different situations: (i) we prove a quantitative multivariate fourth moment theorem for vectors of multiple Wiener-Itô integrals, and (ii) we characterise the rate of convergence for the finite-dimensional distributions in the functional Breuer-Major theorem.

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