Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes

DOI10.1142/S0219493718500284zbMATH Open1397.60060arXiv1607.08278OpenAlexW2963676829MaRDI QIDQ4584279FDOQ4584279

Authors: T. T. Diu Tran 

Publication date: 29 August 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: Let $(Z_t^{(q,H)}{)}_{tgeq0}$ denote a Hermite process of order $qgeq1$ and self-similarity parameter $Hin(frac12,1)$. Consider the Hermite-driven moving average process ${\displaystyle }$X_t^{(q, H)} = int_0^t x(t-u) dZ^{(q, H)}(u), qquad t geq 0.${\displaystyle }$ In the special case of $x(u)=e^{-hetau},heta>0$, $X$ is the non-stationary Hermite Ornstein-Uhlenbeck process of order $q$. Under suitable integrability conditions on the kernel $x$, we prove that as $Toinfty$, the normalized quadratic functional ${\displaystyle }$G_T^{(q, H)}(t)=frac{1}{T^{2H_0 - 1}}int_0^{Tt}Big(�ig(X_s^{(q, H)}�ig)^2 - EBig[�ig(X_s^{(q, H)}�ig)^2Big]Big) ds , qquad t geq 0,${\displaystyle }$ where $H_0=1+(H-1)/q$, converges in the sense of finite-dimensional distribution to the Rosenblatt process of parameter $H^{\prime }=1+(2H-2)/q$, up to a multiplicative constant, irrespective of self-similarity parameter whenever $qgeq2$. In the Gaussian case $(q=1)$, our result complements the study started by Nourdin extit{et al} in arXiv:1502.03369, where either central or non-central limit theorems may arise depending on the value of self-similarity parameter. A crucial key in our analysis is an extension of the connection between the classical multiple Wiener-It^{o} integral and the one with respect to a random spectral measure (initiated by Taqqu (1979)), which may be independent of interest.

Full work available at URL: https://arxiv.org/abs/1607.08278

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zbMATH Keywords

Rosenblatt processHermite processnon-central limit theoremsmultiple Wiener-Itô integralsHermite Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

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Cited In (15)

• Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders
• On stationarity properties of generalized Hermite-type processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• The linear stochastic heat equation with Hermite noise
• Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
• Limit theorems for integral functionals of Hermite-driven processes
• Asymptotic behaviour for quadratic variations of non-Gaussian multiparameter Hermite random fields
• Functional limit theorems for power series with rapid decay of moving averages of Hermite processes
• Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
• Noncentral limit theorem for the generalized Hermite process
• Generalized Hermite processes, discrete chaos and limit theorems
• Title not available (Why is that?)
• Parameter identification for the Hermite Ornstein-Uhlenbeck process

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