Yet another proof of the Nualart-Peccati criterion

DOI10.1214/ECP.V16-1642MaRDI QIDQ428677zbMATH OpenOpenAlexFDO

Authors Ivan Nourdin

Publication date 22 June 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.3252

zbMATH Keywords

Brownian motionfree Brownian motionmultiple Wiener-Itô integralsmultiple Wigner integralsNualart-Peccati criterionproduct formula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In 2005, Nualart and Peccati showed that, surprisingly, the convergence in distribution of a normalized sequence of multiple Wiener-It^o integrals towards a standard Gaussian law is equivalent to convergence of just the fourth moment to 3. Recently, this result has been extended to a sequence of multiple Wigner integrals, in the context of free Brownian motion. The goal of the present paper is to offer an elementary, unifying proof of these two results. The only advanced, needed tool is the product formula for multiple integrals. Apart from this formula, the rest of the proof only relies on soft combinatorial arguments.

Recommendations

• Generalization of the Nualart-Peccati criterion
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Wigner chaos and the fourth moment
• Lectures on Gaussian Approximations with Malliavin Calculus
• On the fourth moment theorem for complex multiple Wiener–Itô integrals

Cited in

(9)

• Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle
• Invariance principles for homogeneous sums of free random variables
• Fourth moment theorems for Markov diffusion generators
• Generalization of the Nualart-Peccati criterion
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Fourth moment theorem and \(q\)-Brownian chaos
• Poisson approximations on the free Wigner chaos
• Convergence in law in the second Wiener/Wigner chaos
• Multi-dimensional Semicircular Limits on the Free Wigner Chaos

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