New central limit theorems for functionals of Gaussian processes and their applications

DOI10.1007/S11009-011-9236-9MaRDI QIDQ1930612zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera

Publication date 11 January 2013

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9236-9

zbMATH Keywords

Gaussian processescentral limit theoremWiener chaosnon-semimartingalespower variations

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05)

Recommendations

• Central limit theorem for functionals of a generalized self-similar Gaussian process
• Non-central limit theorem of the weighted power variations of Gaussian processes
• Bipower Variation for Gaussian Processes with Stationary Increments
• Lectures on Gaussian Approximations with Malliavin Calculus
• Power variation for Gaussian processes with stationary increments

Cites work

• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Bipower Variation for Gaussian Processes with Stationary Increments
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for non-linear functionals of Gaussian fields
• Central limit theorems for sequences of multiple stochastic integrals
• Multipower variation for Brownian semistationary processes
• Power variation for Gaussian processes with stationary increments
• Power variation of some integral fractional processes
• Renormalized self-intersection local time for fractional Brownian motion
• Stein's method meets Malliavin calculus: a short survey with new estimates
• The Malliavin Calculus and Related Topics

Cited in

(5)

• Central limit theorems for level functionals of stationary Gaussian processes and fields
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• Central limit theorem for wave-functionals of Gaussian processes
• A note on parameter estimation for discretely sampled SPDEs
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process

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