A four moments theorem for gamma limits on a Poisson chaos

zbMATH Open1342.60028arXiv1502.01568MaRDI QIDQ2805295FDOQ2805295

Authors: Tobias Fissler, Christoph Thäle 

Publication date: 11 May 2016

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

Abstract: This paper deals with sequences of random variables belonging to a fixed chaos of order $q$ generated by a Poisson random measure on a Polish space. The problem is investigated whether convergence of the third and fourth moment of such a suitably normalized sequence to the third and fourth moment of a centred Gamma law implies convergence in distribution of the involved random variables. A positive answer is obtained for $q=2$ and $q=4$. The proof of this four moments theorem is based on a number of new estimates for contraction norms. Applications concern homogeneous sums and $U$-statistics on the Poisson space.

Full work available at URL: https://arxiv.org/abs/1502.01568

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zbMATH Keywords

\(U\)-statisticsgamma distributionmultiple stochastic integralsPoisson random measureuniversalitynon-central limit theoremcontractionshomogeneous sumsPoisson chaosfour moments theorem

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random measures (60G57) Stochastic integrals (60H05)

Cited In (9)

• U-Statistics in Stochastic Geometry
• Fourth moment theorems on the Poisson space in any dimension
• Chaos of a Markov operator and the fourth moment condition
• The fourth moment theorem on the Poisson space
• Fluctuations of quadratic chaos
• Four moments theorems on Markov chaos
• Universal Gaussian fluctuations on the discrete Poisson chaos
• Title not available (Why is that?)
• Gamma limits and \(U\)-statistics on the Poisson space

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