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

zbMATH Open1337.60023arXiv1603.00365MaRDI QIDQ2805293FDOQ2805293

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)

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.

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

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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)

Cited In (10)

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• Berry-Esséen bounds and almost sure CLT for the quadratic variation of a class of Gaussian process
• How does tempering affect the local and global properties of fractional Brownian motion?
• 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
• Optimal rates for parameter estimation of stationary Gaussian processes
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Berry-Ess\'een bounds for parameter estimation of general Gaussian processes
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• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise

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