Noncentral limit theorem for the generalized Hermite process

DOI10.1214/17-ECP99MaRDI QIDQ1689829zbMATH OpenOpenAlexFDO

Authors Denis R. Bell, David Nualart

Publication date 18 January 2018

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.02377, https://projecteuclid.org/euclid.ecp/1511427621

zbMATH Keywords

multiple stochastic integralsRosenblatt processSkorokhod integralHermite processcentral and noncentral limit theorems

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Abstract: We use techniques of Malliavin calculus to study the convergence in law of a family of generalized Rosenblatt processes $Z_{g}amma$ with kernels defined by parameters $gamma$ taking values in a tetrahedral region $Delta$ of $R{R}^q$. We prove that, as $gamma$ converges to a face of $Delta$, the process $Z_{g}amma$ converges to a compound Gaussian distribution with random variance given by the square of a Rosenblatt process of one lower rank. The convergence in law is shown to be stable. This work generalizes a previous result of Bai and Taqqu, who proved the result in the case $q=2$ and without stability.

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Cited in

(11)

• Limit behavior of the Rosenblatt Ornstein-Uhlenbeck process with respect to the Hurst index
• Rate of convergence in the Breuer-Major theorem via chaos expansions
• Behavior of the Hermite sheet with respect to the Hurst index
• Generalized continuous time random walks and Hermite processes
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
• Limit theorems for integral functionals of Hermite-driven processes
• Structure of the third moment of the generalized Rosenblatt distribution
• A weak convergence to Hermite process by martingale differences
• Generalized Hermite processes, discrete chaos and limit theorems
• Non symmetric Rosenblatt process over a compact

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