Limit theorems for functionals of Gaussian vectors

DOI10.1007/S11464-016-0620-1zbMATH1372.60049OpenAlexW2571228406MaRDI QIDQ2405967FDOQ2405967

Authors Hongshuai Dai, Guangjun Shen, Lingtao Kong

Publication date 26 September 2017

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

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

zbMATH Keywords

scaling limitGaussian vectoroperator fractional Brownian motionoperator self-similar process

Mathematics Subject Classification ID

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

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

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Cited in

(10)

• A general version of Price's theorem. A tool for bounding the expectation of nonlinear functions of Gaussian random vectors
• Limit theorems in the context of multivariate long-range dependence
• Functional limit theorems for the increments of Gaussian samples
• A note on operator self-similar Gaussian vector fields
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• Modeling and simulation with operator scaling
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