Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem

DOI10.1016/J.JFA.2016.01.002zbMATH Open1334.60032arXiv1410.7964OpenAlexW1540794303MaRDI QIDQ5963426FDOQ5963426

Matthias Schulte, Christoph Thäle

Publication date: 19 February 2016

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: A moderate deviation principle as well as moderate and large deviation inequalities for a sequence of elements living inside a fixed Wiener chaos associated with an isonormal Gaussian process are shown. The conditions under which the results are derived coincide with those of the celebrated fourth moment theorem of Nualart and Peccati. The proofs rely on sharp estimates for cumulants. As applications, explosive integrals of a Brownian sheet, a discretized version of the quadratic variation of a fractional Brownian motion and the sample bispectrum of a spherical Gaussian random field are considered.

Full work available at URL: https://arxiv.org/abs/1410.7964

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zbMATH Keywords

Gaussian random fieldlarge deviationsfractional Brownian motionmoderate deviationsWiener chaoscumulantsfourth moment theoremBrownian sheetisonormal Gaussian process

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Random fields (60G60) Fractional processes, including fractional Brownian motion (60G22) Limit theorems in probability theory (60F99) Stochastic integrals (60H05)

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Cited In (18)

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• Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa
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• The method of cumulants for the normal approximation
• From \(p\)-Wasserstein bounds to moderate deviations
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Non-universal moderate deviation principle for the nodal length of arithmetic random waves
• Deviation properties for linear self-attracting diffusion process and applications
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process
• Moderate deviations on Poisson chaos
• Generalizations of the fourth moment theorem
• The volume of simplices in high-dimensional Poisson-Delaunay tessellations
• Moderate Deviation estimates for Nodal Lengths of Random Spherical Harmonics
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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