The universality of homogeneous polynomial forms and critical limits

DOI10.1007/S10959-015-0613-0MaRDI QIDQ501838zbMATH OpenOpenAlexFDO

Authors Shuyang Bai, Murad S. Taqqu

Publication date 10 January 2017

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.03599

zbMATH Keywords

central limit theoremhomogeneous polynomial formslong memorylong-range dependenceuniversalityweak convergenceWiener chaos

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

Abstract: Nourdin et al. [9] established the following universality result: if a sequence of off-diagonal homogeneous polynomial forms in i.i.d. standard normal random variables converges in distribution to a normal, then the convergence also holds if one replaces these i.i.d. standard normal random variables in the polynomial forms by any independent standardized random variables with uniformly bounded third absolute moment. The result, which was stated for polynomial forms with a finite number of terms, can be extended to allow an infinite number of terms in the polynomial forms. Based on a contraction criterion derived from this extended universality result, we prove a central limit theorem for a strongly dependent nonlinear processes, whose memory parameter lies at the boundary between short and long memory.

Review text

The authors begin by extending a universality result concerning the off-diagonal homogeneous polynomial form \[ Q_k(N_n,f_n,\mathbf{X})=\sum_{1\leq i_1,\ldots, i_k\leq N_n}f_n(i_1,\ldots,i_k)X_{i_1}\cdots X_{i_k}\,, \] where \((f_n)\) is a sequence of symmetric functions on \(\mathbb{Z}_+^k\) which vanish on the diagonals, \(\mathbf{X}=(X_1,X_2,\ldots)\) is a sequence of standardized independent random variables, and \((N_n)\) is a finite sequence of numbers with \(N_n\rightarrow\infty\) as \(n\rightarrow\infty\). Letting \(\mathbf{Z}\) be a sequence of i\(.\)i\(.\)d\(.\) normal random variables, \textit{I. Nourdin} et al. [Ann. Probab. 38, No. 5, 1947--1985 (2010; Zbl 1246.60039)] proved that if \(Q_k(N_n,f_n,\mathbf{Z})\) converges weakly to a normal distribution as \(n\rightarrow\infty\), then so does \(Q_k(N_n,f_n,\mathbf{X})\), where \(\mathbf{X}\) is a standardized independent sequence with a uniform moment bound. The present paper removes the condition of finiteness of \(N_n\), using an approximation argument. This result leads to a criterion for the above weak convergence, expressed in terms of contractions. This is then applied to prove a central limit theorem for a nonlinear process whose behaviour at the boundary is between short and long memory.

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Cited in

(2)

• Fourth moment theorems on the Poisson space in any dimension
• Limit theorems for long-memory flows on Wiener chaos

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