Limit theorems for functionals of Gaussian vectors

DOI10.1007/S11464-016-0620-1zbMATH Open1372.60049arXiv1409.1646OpenAlexW2571228406MaRDI QIDQ2405967FDOQ2405967

Hongshuai Dai, Guangjun Shen, Lingtao Kong

Publication date: 26 September 2017

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Abstract: Operator self-similar processes, as an extension of self-similar processes, have been studied extensively. In this work, we study limit theorems for functionals of Gaussian vectors. Under some conditions, we determine that the limit of partial sums of functionals of a stationary Gaussian sequence of random vectors is an operator self-similar process

Full work available at URL: https://arxiv.org/abs/1409.1646

Recommendations

• Central limit theorem for functionals of a generalized self-similar Gaussian process
• Limit theorems related to a class of operator-self-similar processes
• Publication:4955474
• A note on operator self-similar Gaussian vector fields
• Operator self-similar processes and functional central limit theorems

zbMATH Keywords

scaling limitGaussian vectoroperator fractional Brownian motionoperator self-similar process

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Weak convergence of multivariate fractional processes
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Integral representations and properties of operator fractional Brownian motions
• Title not available (Why is that?)
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• Lévy Processes and Stochastic Calculus
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Self-similar processes with independent increments
• Semi-Stable Stochastic Processes
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Sample path properties of self-similar processes with stationary increments
• Convergence in law to operator fractional Brownian motions
• Operator self similar stochastic processes in \(R^ n\).
• Exponents, symmetry groups and classification of operator fractional Brownian motions
• Sample Path Properties of Operator-Slef-Similar Gaussian Random Fields
• Operator-Self-Similar Processes in a Finite-Dimensional Space
• Modeling and simulation with operator scaling
• Non-central limit theorems for non-linear functionals of \(k\) Gaussian fields
• A central limit theorem for nonlinear functionals of stationary Gaussian vector processes

Cited In (8)

• Total variation bounds for Gaussian functionals
• Modeling and simulation with operator scaling
• Gaussian version of a theorem of Milman and Schechtman
• Limit theorems in the context of multivariate long-range dependence
• Title not available (Why is that?)
• A general version of Price's theorem. A tool for bounding the expectation of nonlinear functions of Gaussian random vectors
• Functional limit theorems for the increments of Gaussian samples
• Remarks on limit theorems for nonlinear functionals of Gaussian sequences

This page was built for publication: Limit theorems for functionals of Gaussian vectors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2405967)