Convergence in law in the second Wiener/Wigner chaos

DOI10.1214/ECP.V17-2023zbMATH Open1261.60030OpenAlexW3099344973MaRDI QIDQ456263FDOQ456263

Authors Ivan Nourdin, Guillaume Poly

Publication date 23 October 2012

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

Full work available at URL https://arxiv.org/abs/1205.2684

zbMATH Keywords

quadratic formconvergence in lawfree probabilitysecond Wiener chaossecond Wigner chaos

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Free probability and free operator algebras (46L54)

Abstract: Let L be the class of limiting laws associated with sequences in the second Wiener chaos. We exhibit a large subset L_0 of L satisfying that, for any F_infinity in L_0, the convergence of only a finite number of cumulants suffices to imply the convergence in law of any sequence in the second Wiener chaos to F_infinity. This result is in the spirit of the seminal paper by Nualart and Peccati, in which the authors discovered the surprising fact that convergence in law for sequences of multiple Wiener-It^o integrals to the Gaussian is equivalent to convergence of just the fourth cumulant. Also, we offer analogues of this result in the case of free Brownian motion and double Wigner integrals, in the context of free probability.

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Cited in

(18)

• Superconvergence phenomenon in Wiener chaoses
• Optimal variance-Gamma approximation on the second Wiener chaos
• Generalization of the Nualart-Peccati criterion
• On a new Sheffer class of polynomials related to normal product distribution
• Stein characterizations for linear combinations of gamma random variables
• A bound on the Wasserstein-2 distance between linear combinations of independent random variables
• Freeness characterizations on free chaos spaces
• Stein operators for variables form the third and fourth Wiener chaoses
• Weak convergence on Wiener space: targeting the first two chaoses
• Multi-dimensional Semicircular Limits on the Free Wigner Chaos
• On algebraic Stein operators for Gaussian polynomials
• Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle
• Two properties of vectors of quadratic forms in Gaussian random variables
• Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
• Malliavin-Stein method: a survey of some recent developments
• Convergence of Wigner integrals to the tetilla law
• Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach
• Convergence in total variation on Wiener chaos

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