A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences

MaRDI QIDQ2805293zbMATHFDO

Authors Leo Neufcourt, Frederi Viens

Publication date 11 May 2016

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.00365

zbMATH Keywords

central limit theoremfractional Brownian motionstationary Gaussian processesWiener spacesecond Wiener chaosthird-moment theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10)

Abstract: In two new papers (Bierme et al., 2013) and (Nourdin and Peccati, 2015), sharp general quantitative bounds are given to complement the well-known fourth moment theorem of Nualart and Peccati, by which a sequence in a fixed Wiener chaos converges to a normal law if and only if its fourth cumulant converges to $0$. The bounds show that the speed of convergence is precisely of order the maximum of the fourth cumulant and the absolute value of the third moment (cumulant). Specializing to the case of normalized centered quadratic variations for stationary Gaussian sequences, we show that a third moment theorem holds: convergence occurs if and only if the sequence's third moments tend to $0$. This is proved for sequences with general decreasing covariance, by using the result of (Nourdin and Peccati, 2015), and finding the exact speed of convergence to $0$ of the quadratic variation's third and fourth cumulants. (Nourdin and Peccati, 2015) also allows us to derive quantitative estimates for the speeds of convergence in a class of log-modulated covariance structures, which puts in perspective the notion of critical Hurst parameter when studying the convergence of fractional Brownian motion's quadratic variation. We also study the speed of convergence when the limit is not Gaussian but rather a second-Wiener-chaos law. Using a log-modulated class of spectral densities, we recover a classical result of Dobrushin-Major/Taqqu whereby the limit is a Rosenblatt law, and we provide new convergence speeds. The conclusion in this case is that the price to pay to obtain a Rosenblatt limit despite a slowly varying modulation is a very slow convergence speed, roughly of the same order as the modulation.

Recommendations

• The optimal third moment theorem
• Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
• The optimal fourth moment theorem
• On the local limit theorem for densities in case of a limit law of the class L
• Central limit theorems and quadratic variations in terms of spectral density

Cited in

(10)

• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• How does tempering affect the local and global properties of fractional Brownian motion?
• The optimal third moment theorem
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of a class of Gaussian process
• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• On rate of convergence in non-central limit theorems
• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• Berry-Esseen bounds for parameter estimation of general Gaussian processes
• Optimal rates for parameter estimation of stationary Gaussian processes

This page was built for publication: A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2805293)