Central limit theorem for functionals of a generalized self-similar Gaussian process

DOI10.1016/j.spa.2017.04.014zbMath1380.60034arXiv1508.02756OpenAlexW2560487778MaRDI QIDQ679608

Daniel Harnett, David Nualart

Publication date: 11 January 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02756

zbMATH Keywords

central limit theoremself-similar processesfourth moment theoremBreuer-Major theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (6)

Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process ⋮ Continuous Breuer-Major theorem: tightness and nonstationarity ⋮ High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices ⋮ Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes ⋮ Bifractional Brownian motion for \(H>1\) and \(2HK\leq 1\) ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

Cites Work

• From infinite urn schemes to decompositions of self-similar Gaussian processes
• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
• Stein's method on Wiener chaos
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Central limit theorems for non-linear functionals of Gaussian fields
• Sub-fractional Brownian motion and its relation to occupation times
• Weak convergence of the scaled median of independent Brownian motions
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• On bifractional Brownian motion
• Central limit theorems for sequences of multiple stochastic integrals
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
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