Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws (Q2447332)

The authors in this paper characterize the asymptotic independence between blocks consisting of multiple Wiener-Itō integrals. \textit{A. S. Üstünel} and \textit{M. Zakai} [Ann. Probab. 17, No. 4, 1441--1453 (1989; Zbl 0693.60046)] gave a characterization of the independence of multiple Wiener-Itō integrals. \textit{J. Rosiński} and \textit{G. Samorodnitsky} [Contemp. Math. 234, 169--194 (1999; Zbl 0940.60025)] observed that multiple Wiener-Itō integrals are independent if and only if their squares are uncorrelated: (1) \( I_p(f)\) and \(I_q(g)\) are independent iff \(\mathrm{Cov}(I_p(f)^2), I_q(g)^2)=0\). The condition mentioned in Rosiński and Samorodnitsky's paper can be viewed as a generalization of the usual covariance criterion for the independence of jointly Gaussian random variables. \textit{D. Nualart} and \textit{G. Peccati} [Ann. Probab. 33, No. 1, 177--193 (2005; Zbl 1097.60007)] discovered a surprising central limit theorem. Shortly afterwards, \textit{G. Peccati} and \textit{C. A. Tudor} [Lect. Notes Math. 1857, 247--262 (2005; Zbl 1063.60027)] established a multi-dimensional extension of Nualart and Peccati's result. After publication of these two important papers, many improvements and developments on this theme have been considered. \textit{I. Nourdin} and \textit{G. Peccati} [Ann. Probab. 37, No. 4, 1412--1426 (2009; Zbl 1171.60323)] extended the result to the case when the limit of \({F_n}\), where \(F_n=I_q(f_n)\) is the \(q\)-tuple (\(q \geq 2\)) Wiener-Itō integral of \(f\) with respect to a standard one-dimensional Brownian motion, is a centered gamma distributed random variable. A~heuristic argument linking Üstünel and Zakai's result and Nualart and Peccati's result was given by the second author while addressing a question of Albert Shiryaev [\textit{J. Rosiński}, ``Infinite Divisible Processes: an overview'', Talk held at the workshop on ambit processes, non-semimartingales and applications (2010), \url{http://www.ambitprocesses.au.dk/fileadmin/pdfs/ambit/Rosinski.pdf}]. An extension of (1) to the multivariate setting is considered. Let \(I\) be a finite set and \((q_i)_{i\in I}\) be a sequence of nonnegative integers. Let \(F_i=I_{q_{i}}(f_i)\) be a multiple Wiener-Itō integral of order \(q_i\), \(i\in I\). Consider a partition of \(I\) into disjoint blocks \(I_k\) so that \(I=\bigcup^{d}_{k=1}I_k\), and the resulting random vector \((F_i)_{i \in I_k}\), \(k=1, \dots, d\). Then (2) \( \{ (F_i)_i\in I_k : k\leq d\}\) are independent iff \(\mathrm{Cov}(F^{2}_{i}, F^{2}_{j})=0\) for all \(i, j\) from different blocks. The authors establish an asymptotic version of (2) characterizing the asymptotic moment-independence between blocks of multiple Wiener-Itō integrals. As a consequence of this result, they deduce the fourth moment theorem of Nualart and Peccati [loc.\,cit.], its multidimensional extension due to Peccati and Tudor [loc.\,cit.], and some neat estimates on the speed of convergence. Furthermore, they obtain a new multi-dimensional extension of a theorem of Nourdin and Peccati [loc.\,cit.] and give another new result on the bivariate convergence of vectors consisting of multiple Wiener-Itō integrals. Applying the result above, the authors establish the limit process for functions of short and long-range dependent stationary Gaussian time series in the spirit of the celebrated Breuer-Major and Dobrushin-Major-Taqqu theorems. Also, they establish the asymptotic moment-independence for discrete non-Gaussian chaoses, using some techniques of \textit{E. Mossel} et al. [Ann. Math. (2) 171, No.~1, 295--341 (2010; Zbl 1201.60031)].