Convergence in total variation on Wiener chaos

DOI10.1016/J.SPA.2012.10.004zbMATH Open1259.60029arXiv1205.2682OpenAlexW2591972302MaRDI QIDQ1933605FDOQ1933605

Guillaume Poly, Ivan Nourdin

Publication date: 24 January 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $F_n$ be a sequence of random variables belonging to a finite sum of Wiener chaoses. Assume further that it converges in distribution towards $F_{i}nfty$ satisfying $mVar(F_{i}nfty)>0$. Our first result is a sequential version of a theorem by Shigekawa (1980). More precisely, we prove, without additional assumptions, that the sequence $F_n$ actually converges in total variation and that the law of $F_{i}nfty$ is absolutely continuous. We give an application to discrete non-Gaussian chaoses. In a second part, we assume that each $F_n$ has more specifically the form of a multiple Wiener-It^o integral (of a fixed order) and that it converges in $L^2(Omega)$ towards $F_{i}nfty$. We then give an upper bound for the distance in total variation between the laws of $F_n$ and $F_{i}nfty$. As such, we recover an inequality due to Davydov and Martynova (1987); our rate is weaker compared to Davydov and Martynova (1987) (by a power of 1/2), but the advantage is that our proof is not only sketched as in Davydov and Martynova (1987). Finally, in a third part we show that the convergence in the celebrated Peccati-Tudor theorem actually holds in the total variation topology.

Full work available at URL: https://arxiv.org/abs/1205.2682

zbMATH Keywords

Malliavin calculusWiener chaosconvergence in distributionconvergence in total variation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=multiple+Wiener-It%EF%BF%BD%EF%BF%BD+integral&go=Go multiple Wiener-It�� integral]

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Cited In (51)

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• Statistical inference for Vasicek-type model driven by Hermite processes
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• Convergence in total variation to a mixture of Gaussian laws
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Fractional smoothness of distributions of trigonometric polynomials on a space with a Gaussian measure
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• Almost sure limit theorems on Wiener chaos: the non-central case
• Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
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• Fractional smoothness of distributions of polynomials and a fractional analog of the Hardy–Landau–Littlewood inequality
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• Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach
• On the rate of convergence to Rosenblatt-type distribution
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• Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
• Quantitative clts on a gaussian space: a survey of recent developments
• Normal Approximation on a Finite Wiener Chaos
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Improved bounds for the total variation distance between stochastic polynomials
• The Gamma Stein equation and noncentral de Jong theorems
• The total variation distance between two double Wiener-Itô integrals

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