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

DOI10.1016/J.JFA.2016.01.002MaRDI QIDQ5963426zbMATH OpenOpenAlexFDO

Authors Matthias Schulte, Christoph Thäle

Publication date 19 February 2016

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

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

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)

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.

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Cited in

(25)

• Fourth moment bound and stationary Gaussian processes with positive correlation
• Large nearest neighbour balls in hyperbolic stochastic geometry
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in \(\alpha\)-Wiener bridge process
• Normal approximation of subgraph counts in the random-connection model
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• Generalizations of the fourth moment theorem
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• Moderate deviations on Poisson chaos

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