Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach

DOI10.1007/978-3-319-18585-9_16MaRDI QIDQ2798587zbMATH OpenOpenAlexFDO

Authors Ehsan Azmoodeh, Giovanni Peccati, Guillaume Poly

Publication date 13 April 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.5551

zbMATH Keywords

chi-squared random variablesconvergence in distributioncumulantsMalliavin calculus

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We investigate the problem of finding necessary and sufficient conditions for convergence in distribution towards a general finite linear combination of independent chi-squared random variables, within the framework of random objects living on a fixed Gaussian space. Using a recent representation of cumulants in terms of the Malliavin calculus operators $Gamm{a}_i$ (introduced by Nourdin and Peccati in cite{n-pe-3}), we provide conditions that apply to random variables living in a finite sum of Wiener chaoses. As an important by-product of our analysis, we shall derive a new proof and a new interpretation of a recent finding by Nourdin and Poly cite{n-po-1}, concerning the limiting behaviour of random variables living in a Wiener chaos of order two. Our analysis contributes to a fertile line of research, that originates from questions raised by Marc Yor, in the framework of limit theorems for non-linear functionals of Brownian local times.

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Cited in

(20)

• Stein operators for variables form the third and fourth Wiener chaoses
• The Gamma Stein equation and noncentral de Jong theorems
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• A bound on the Wasserstein-2 distance between linear combinations of independent random variables
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