The impact of the diagonals of polynomial forms on limit theorems with long memory

DOI10.3150/15-BEJ697zbMATH Open1360.60048arXiv1403.7544MaRDI QIDQ502901FDOQ502901

Authors: Shuyang Bai, Murad S. Taqqu 

Publication date: 11 January 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We start with an i.i.d. sequence and consider the product of two polynomial-forms moving averages based on that sequence. The coefficients of the polynomial forms are asymptotically slowly decaying homogeneous functions so that these processes have long memory. The product of these two polynomial forms is a stationary nonlinear process. Our goal is to obtain limit theorems for the normalized sums of this product process in three cases: exclusion of the diagonal terms of the polynomial form, inclusion, or the mixed case (one polynomial form excludes the diagonals while the other one includes them). In any one of these cases, if the product has long memory, then the limits are given by Wiener chaos. But the limits in each of the cases are quite different. If the diagonals are excluded, then the limit is expressed as in the product formula of two Wiener-It^{o} integrals. When the diagonals are included, the limit stochastic integrals are typically due to a single factor of the product, namely the one with the strongest memory. In the mixed case, the limit stochastic integral is due to the polynomial form without the diagonals irrespective of the strength of the memory.

Full work available at URL: https://arxiv.org/abs/1403.7544

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zbMATH Keywords

diagonalslong memoryself-similar processesstochastic integralnoncentral limit theorempolynomial forms

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cited In (6)

• Lower bound for local oscillations of Hermite processes
• On rate of convergence in non-central limit theorems
• Multivariate limits of multilinear polynomial-form processes with long memory
• Limit theorems for long-memory flows on Wiener chaos
• Structure of the third moment of the generalized Rosenblatt distribution
• Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence

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