Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos (Q1958464): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q57747941 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 0904.1153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On asymptotic proximity of distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3992833 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A central limit theorem for generalized multilinear forms / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the rate of convergence in the multivariate CLT / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian Hilbert Spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multivariate central limit theorem for randomized orthogonal array sampling designs in computer experiments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4337939 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian bounds for noise correlation of functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Noise stability of functions with low influences: invariance and optimality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Noncentral convergence of multiple integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stein's method on Wiener chaos / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted power variations of iterated Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second order Poincaré inequalities and CLTs on Wiener space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate normal approximation using Stein's method and Malliavin calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Malliavin Calculus and Related Topics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for multiple stochastic integrals and Malliavin calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for sequences of multiple stochastic integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stein's method and normal approximation of Poisson functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4662408 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis in discrete and continuous settings. With normal martingales. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multivariate CLT for local dependence with \(n^{-1/2}\log n\) rate and applications to multivariate graph related statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit Theorems for Multilinear Forms and Quasipolynomial Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for polylinear forms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4404195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4000424 / rank
 
Normal rank
Property / cites work
 
Property / cites work: RANDOM MATRICES: THE CIRCULAR LAW / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2106466894 / rank
 
Normal rank

Latest revision as of 09:29, 30 July 2024

scientific article
Language Label Description Also known as
English
Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
scientific article

    Statements

    Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos (English)
    0 references
    0 references
    0 references
    0 references
    29 September 2010
    0 references
    A multilinear homogeneous sum of order \(d\) is any finite sum of products of this order of independent centered random variables. Two problem of major importance in probability and statistics are addressed in this paper: convergence of such sums towards a normal vector and towards a chi-squared one. The second moment is always assumed to be finite. Hence, a CLT type convergence suggests some limiting Wiener chaos. Moreover, in the case of convergence towards some normal vector, in this Wiener chaos, all coefficients except those of order one, vanish, while convergence to some chi-squared law signifies that in the limit, all coefficients vanish except those of order two. As shown in the Theorem 1.2, a CLT type convergence for Gaussian i.i.d. random variables is equivalent to a similar convergence of a sequence of multilinear homogeneous sums for any centered and independent random variables with a uniformly bounded third moment. This is called universality of Wiener chaos. A similar result holds true for chi-squared convergence. One of the versions of it, given in Theorem 1.12, states, in particular, that a sequence of multilinear homogeneous sums for centered Gaussian i.i.d. sequences converges in distribution to a chi-squared vector with a given degree of freedom if and only if, for any sequence of such sums, for any sequence of centered independent random variables, under Lyapunov's moment condition, convergence in law to the same chi-squared vector holds. Multivariate versions of both results and some other equivalent statements are obtained. Among the most important preceding papers on the subject are [\textit{P. de Jong}, J. Multivariate Anal. 34, No. 2, 275--289 (1990; Zbl 0709.60019); \textit{E. Mossel, R. O'Donnell} and \textit{K. Oleszkiewicz}, Ann. Math. (2) 171, No. 1, 295--341 (2010; Zbl 1201.60031); \textit{I. Nourdin} and \textit{G. Peccati}, Ann. Probab. 37, No. 4, 1412--1426 (2009; Zbl 1171.60323); \textit{D. Nualart} and \textit{G. Peccati}, Ann. Probab. 33, No. 1, 177--193 (2005; Zbl 1097.60007); \textit{V. I. Rotar}, J. Multivariate Anal. 9, 511--530 (1979; Zbl 0426.62013)].
    0 references
    central limit theorems
    0 references
    chi-squared limit theorems
    0 references
    Wiener chaos
    0 references
    polynomial homogeneous sums
    0 references
    Malliavin calculus
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references