Convergence of long-memory discrete kth order Volterra processes

DOI10.1016/J.SPA.2014.12.006MaRDI QIDQ2018569zbMATH OpenOpenAlexFDO

Authors Shuyang Bai, Murad S. Taqqu

Publication date 24 March 2015

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

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

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)

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.

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Cited in

(6)

• Lower bound for local oscillations of Hermite processes
• Limit theorems for long-memory flows on Wiener chaos
• Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence
• Generalized Hermite processes, discrete chaos and limit theorems
• 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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