Central limit theorem for functionals of a generalized self-similar Gaussian process

DOI10.1016/J.SPA.2017.04.014zbMATH Open1380.60034arXiv1508.02756OpenAlexW2560487778MaRDI QIDQ679608FDOQ679608

Authors: Daniel Harnett, David Nualart 

Publication date: 11 January 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider a class of self-similar, continuous Gaussian processes that do not necessarily have stationary increments. We prove a version of the Breuer-Major theorem for this class, that is, subject to conditions on the covariance function, a generic functional of the process increments converges in law to a Gaussian random variable. The proof is based on the Fourth Moment Theorem. We give examples of five non-stationary processes that satisfy these conditions.

Full work available at URL: https://arxiv.org/abs/1508.02756

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zbMATH Keywords

central limit theoremfourth moment theoremself-similar processesBreuer-Major theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)

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Cited In (14)

• Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes
• The marginal distribution function of threshold-type processes with central symmetric innovations
• Functional central limit theorems for self-normalized partial sums of linear processes
• High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
• Continuous Breuer-Major theorem: tightness and nonstationarity
• Central limit theorem for wave-functionals of Gaussian processes
• Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
• New central limit theorems for functionals of Gaussian processes and their applications
• Title not available (Why is that?)
• On the cross-variation of a class of stochastic processes
• Bifractional Brownian motion for \(H>1\) and \(2HK\leq 1\)
• Functional central limit theorems for self-normalized least squares processes in regression with possibly infinite variance data
• Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

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