Convergence of long-memory discrete kth order Volterra processes

DOI10.1016/J.SPA.2014.12.006zbMATH Open1329.60022arXiv1403.1903OpenAlexW2129195723MaRDI QIDQ2018569FDOQ2018569

Murad S. Taqqu, Shuyang Bai

Publication date: 24 March 2015

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

Abstract: We obtain limit theorems for a class of nonlinear discrete-time processes $X(n)$ called the $k$-th order Volterra processes of order $k$. These are moving average $k$-th order polynomial forms: [ X(n)=sum_{0<i_1,ldots,i_k<infty}a(i_1,ldots,i_k)epsilon_{n-i_1}ldotsepsilon_{n-i_k}, ] where $epsilo{n}_i$ is i.i.d. with $mathbbEepsilo{n}_i=0$, $mathbbEepsilo{n}_i^2=1$, where $a(cdot)$ is a nonrandom coefficient, and where the diagonals are included in the summation. We specify conditions for $X(n)$ to be well-defined in $L^2(Omega)$, and focus on central and non-central limit theorems. We show that normalized partial sums of centered $X(n)$ obey the central limit theorem if $a(cdot)$ decays fast enough so that $X(n)$ has short memory. We prove a non-central limit theorem if, on the other hand, $a(cdot)$ is asymptotically some slowly decaying homogeneous function so that $X(n)$ has long memory. In the non-central case the limit is a linear combination of Hermite-type processes of different orders. This linear combination can be expressed as a centered multiple Wiener-Stratonovich integral.

Full work available at URL: https://arxiv.org/abs/1403.1903

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zbMATH Keywords

central limit theoremlong-range dependencelong memoryWiener chaosnon-central limit theoremVolterra processesWiener-Stratonovich integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cited In (4)

• Lower bound for local oscillations of Hermite processes
• Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence
• The universality of homogeneous polynomial forms and critical limits
• On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes

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