Central limit theorems for sequences of multiple stochastic integrals
From MaRDI portal
Publication:2497212
Abstract: We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applications are given, in particular to study the limiting behavior of quadratic functionals of Gaussian processes.
Recommendations
Cites work
- Applications of the multiplication of the Ito-Wiener expansions to limit theorems
- CLT and other limit theorems for functionals of Gaussian processes
- Gaussian Hilbert Spaces
- scientific article; zbMATH DE number 4028547 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1944307 (Why is no real title available?)
- scientific article; zbMATH DE number 2078174 (Why is no real title available?)
- scientific article; zbMATH DE number 2152199 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- Multiple Wiener-Ito integrals. With applications to limit theorems
- On independence and conditioning on Wiener space
- Semi-martingales et grossissement d'une filtration
- Some Useful Functions for Functional Limit Theorems
- Stochastic integration with respect to the fractional Brownian motion
- Wiener functionals and probability limit theorems. I: The central limit theorems
Cited in
(only showing first 100 items - show all)- Central limit theorems for double Poisson integrals
- Central limit theorem for multiple integrals with respect to the empirical process
- Asymptotics for spherical needlets
- Power variation for Gaussian processes with stationary increments
- Second order Poincaré inequalities and CLTs on Wiener space
- An Edgeworth expansion for functionals of Gaussian fields and its applications
- A new central limit theorem and decomposition for Gaussian polynomials, with an application to deterministic approximate counting
- The fourth moment theorem on the Poisson space
- Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
- Quantitative central limit theorems of spherical sojourn times of isotropic Gaussian fields
- Maximum likelihood estimators of a long-memory process from discrete observations
- Fourth moment theorems on the Poisson space in any dimension
- Fractional smoothness of images of logarithmically concave measures under polynomials
- Renormalized self-intersection local time for fractional Brownian motion
- New central limit theorems for functionals of Gaussian processes and their applications
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
- The needlets bispectrum
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Spin needlets spectral estimation
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- A bound on the Wasserstein-2 distance between linear combinations of independent random variables
- Behavior of the Hermite sheet with respect to the Hurst index
- Total variation estimates in the Breuer-Major theorem
- Gaussian fluctuations for the directed polymer partition function in dimension \(d\ge 3\) and in the whole \(L^2\)-region
- Stable limit theorems on the Poisson space
- Approximation of Hilbert-valued gaussians on Dirichlet structures
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Higher-order fluctuations in dense random graph models
- Estimation of local anisotropy based on level sets
- Edwards-Wilkinson fluctuations for the directed polymer in the full \(L^2\)-regime for dimensions \(d\ge 3\)
- Multivariate normal approximation on the Wiener space: new bounds in the convex distance
- The limit distribution of a singular sequence of Itô integrals
- Fluctuations for matrix-valued Gaussian processes
- The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- Rough homogenisation with fractional dynamics
- Functional limit theorems for the fractional Ornstein-Uhlenbeck process
- How does tempering affect the local and global properties of fractional Brownian motion?
- Optimal variance-Gamma approximation on the second Wiener chaos
- Fourth moment bound and stationary Gaussian processes with positive correlation
- Normal approximation when a chaos grade is greater than two
- Motif estimation via subgraph sampling: the fourth-moment phenomenon
- Stochastic functional linear models and Malliavin calculus
- Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
- Pathwise large deviations for white noise chaos expansions
- Gaussian limits for subcritical chaos
- Berry-Esseen bounds for functionals of independent random variables
- Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
- The optimal third moment theorem
- Freeness characterizations on free chaos spaces
- Averaging Gaussian functionals
- Continuous Breuer-Major theorem: tightness and nonstationarity
- Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
- Total variation distance between stochastic polynomials and invariance principles
- Gaussian fluctuations for the stochastic heat equation with colored noise
- On the absolute continuity of random nodal volumes
- A quantitative fourth moment theorem in free probability theory
- Malliavin-Stein method: a survey of some recent developments
- Quantitative fourth moment theorem of functions on the Markov triple and orthogonal polynomials
- Nonparametric estimation for linear SPDEs from local measurements
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
- Non-universal fluctuations of the empirical measure for isotropic stationary fields on \(\mathbb{S}^2\times \mathbb{R} \)
- Entropy and the fourth moment phenomenon
- Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle
- Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities
- Normal approximations for wavelet coefficients on spherical Poisson fields
- Discretizing the fractional Lévy area
- Malliavin and Dirichlet structures for independent random variables
- Optimal rates for parameter estimation of stationary Gaussian processes
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
- Asymptotic expansion of Skorohod integrals
- Limit theorems for long-memory flows on Wiener chaos
- An improved second-order Poincaré inequality for functionals of Gaussian fields
- Gaussian fluctuations from the 2D KPZ equation
- Anisotropic scaling limits of long-range dependent random fields
- Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
- Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
- Fluctuations of the power variation of fractional Brownian motion in Brownian time
- On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
- Stein meets Malliavin in normal approximation
- Scaling transition for nonlinear random fields with long-range dependence
- A CLT concerning critical points of random functions on a Euclidean space
- Fluctuations of the increment of the argument for the Gaussian entire function
- A discrete-time Clark-Ocone formula and its application to an error analysis
- Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Nodal statistics of planar random waves
- Four moments theorems on Markov chaos
- On asymptotic distributions of weighted sums of periodograms
- Convergence of densities of some functionals of Gaussian processes
- On the rate of convergence for central limit theorems of sojourn times of Gaussian fields
- Estimating the scaling function of multifractal measures and multifractal random walks using ratios
- Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Invariance principles for homogeneous sums of free random variables
- Universal Gaussian fluctuations on the discrete Poisson chaos
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
This page was built for publication: Central limit theorems for sequences of multiple stochastic integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2497212)
