A four moments theorem for gamma limits on a Poisson chaos

MaRDI QIDQ2805295zbMATH OpenFDO

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)

Full work available at URL https://arxiv.org/abs/1502.01568, http://alea.impa.br/articles/v13/13-07.pdf

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)

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.

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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
• scientific article; zbMATH DE number 6703665 (Why is no real title available?)
• Gamma limits and \(U\)-statistics on the Poisson space

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