Central limit theorems for double Poisson integrals

DOI10.3150/08-BEJ123zbMATH Open1165.60014arXiv0810.4432OpenAlexW2063833057MaRDI QIDQ1002551FDOQ1002551

Giovanni Peccati, Murad S. Taqqu

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Motivated by second order asymptotic results, we characterize the convergence in law of double integrals, with respect to Poisson random measures, toward a standard Gaussian distribution. Our conditions are expressed in terms of contractions of the kernels. To prove our main results, we use the theory of stable convergence of generalized stochastic integrals developed by Peccati and Taqqu. One of the advantages of our approach is that the conditions are expressed directly in terms of the kernel appearing in the multiple integral and do not make any explicit use of asymptotic dependence properties such as mixing. We illustrate our techniques by an application involving linear and quadratic functionals of generalized Ornstein--Uhlenbeck processes, as well as examples concerning random hazard rates.

Full work available at URL: https://arxiv.org/abs/0810.4432

zbMATH Keywords

weak convergencemultiple stochastic integralscentral limit theoremsPoisson measuresdoubly stochastic integrals

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Random measures (60G57) Stochastic integrals (60H05)

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Cited In (13)

• Functional Gaussian approximations on Hilbert-Poisson spaces
• A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
• Distances between Poisson \(k\)-flats
• Stein's method and normal approximation of Poisson functionals
• The Malliavin–Stein Method on the Poisson Space
• Asymptotics for posterior hazards
• Stable convergence of multiple Wiener--Itô integrals
• Estimating fast mean-reverting jumps in electricity market models
• The fourth moment theorem on the Poisson space
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Quantile clocks
• Universal Gaussian fluctuations on the discrete Poisson chaos
• Linear and quadratic functionals of random hazard rates: An asymptotic analysis

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