The functional Breuer-Major theorem

DOI10.1007/S00440-019-00917-1MaRDI QIDQ2291690zbMATH OpenOpenAlexWikidataFDO

Authors Ivan Nourdin, David Nualart

Publication date 31 January 2020

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.02378

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Let $X={X_n}_{ninmathbbZ}$ be zero-mean stationary Gaussian sequence of random variables with covariance function $ho$ satisfying $ho(0)=1$. Let $varphi:mathbbRomathbbR$ be a function such that $E[varphi(X_0{)}^2]<infty$ and assume that $varphi$ has Hermite rank $dgeq1$. The celebrated Breuer-Major theorem asserts that, if $su{m}_{rinmathbbZ}|ho(r){|}^d<infty$ then the finite dimensional distributions of $frac1sqrtnsu{m}_{i=0}^{lfloorncdotfloor-1}varphi(X_i)$ converge to those of $sigma,W$, where $W$ is a standard Brownian motion and $sigma$ is some (explicit) constant. Surprisingly, and despite the fact this theorem has become over the years a prominent tool in a bunch of different areas, a necessary and sufficient condition implying the weak convergence in the space $$ of c`adl`ag functions endowed with the Skorohod topology is still missing. Our main goal in this paper is to fill this gap. More precisely, by using suitable boundedness properties satisfied by the generator of the Ornstein-Uhlenbeck semigroup, we show that tightness holds under the sufficient (and almost necessary) natural condition that $E[|varphi(X_0){|}^p]<infty$ for some $p>2$.

Recommendations

• Continuous Breuer-Major theorem: tightness and nonstationarity
• Total variation estimates in the Breuer-Major theorem
• Continuous Breuer-Major theorem for vector valued fields
• Density convergence in the Breuer-Major theorem for Gaussian stationary sequences
• Quantitative Breuer-Major theorems

Cites work

• Central limit theorems for non-linear functionals of Gaussian fields
• Convergence of integrated processes of arbitrary Hermite rank
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• scientific article; zbMATH DE number 3864243 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Introduction to Malliavin calculus
• Limit theorems for the nonlinear functional of stationary Gaussian processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• The Malliavin Calculus and Related Topics

Cited in

(19)

• Oscillating Gaussian processes
• Total variation estimates in the Breuer-Major theorem
• Approximation of Hilbert-valued gaussians on Dirichlet structures
• Multivariate normal approximation on the Wiener space: new bounds in the convex distance
• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• Functional convergence of sequential \(U\)-processes with size-dependent kernels
• Malliavin-Stein method: a survey of some recent developments
• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
• The Brézis-Browder Theorem Revisited and Properties of Fitzpatrick Functions of Order n
• Continuous Breuer-Major theorem for vector valued fields
• Rate of convergence in the Breuer-Major theorem via chaos expansions
• High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
• Spectral central limit theorem for additive functionals of isotropic and stationary Gaussian fields
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Quantitative bounds in the central limit theorem for m-dependent random variables
• A total variation version of Breuer-Major central limit theorem under \(\mathbb{D}^{1, 2}\) assumption
• The Breuer-Major theorem in total variation: improved rates under minimal regularity
• Central limit theorems for non-linear functionals of Gaussian fields via Wiener chaos decomposition
• Density convergence in the Breuer-Major theorem for Gaussian stationary sequences

This page was built for publication: The functional Breuer-Major theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2291690)