Noncentral convergence of multiple integrals

DOI10.1214/08-AOP435zbMATH Open1171.60323arXiv0709.3903OpenAlexW1981090302MaRDI QIDQ838003FDOQ838003

Authors: Ivan Nourdin, Giovanni Peccati 

Publication date: 21 August 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Fix $u>0$, denote by $G(u/2)$ a Gamma random variable with parameter $u/2$ and let $ngeq2$ be a fixed even integer. Consider a sequence ${F_k}_{kgeq1}$ of square integrable random variables belonging to the $n$th Wiener chaos of a given Gaussian process and with variance converging to $2u$. As $koinfty$, we prove that $F_k$ converges in distribution to $2G(u/2)-u$ if and only if $E(F_k^4)-12E(F_k^3)o12u^2-48u$.

Full work available at URL: https://arxiv.org/abs/0709.3903

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zbMATH Keywords

Gaussian processesweak convergencemultiple stochastic integralsnoncentral limit theoremsmalliavin calculus

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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Cited In (36)

• Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
• Stein's method on Wiener chaos
• Optimal variance-Gamma approximation on the second Wiener chaos
• Stein's method for invariant measures of diffusions via Malliavin calculus
• Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
• Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
• Generalization of the Nualart-Peccati criterion
• Classical and free fourth moment theorems: universality and thresholds
• Asymptotic expansions for functions of the increments of certain Gaussian processes
• Central limit theorems for multiple Skorokhod integrals
• Chaos of a Markov operator and the fourth moment condition
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Poisson approximations on the free Wigner chaos
• Multidimensional limit theorems for homogeneous sums: A survey and a general transfer principle
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Malliavin calculus for marked binomial processes and applications
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Malliavin and Dirichlet structures for independent random variables
• Poisson convergence on the free Poisson algebra
• The fourth moment theorem on the Poisson space
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
• Multidimensional Stein's method for gamma approximation
• Four moments theorems on Markov chaos
• Malliavin-Stein method: a survey of some recent developments
• Bipower Variation for Gaussian Processes with Stationary Increments
• Weak convergence on Wiener space: targeting the first two chaoses
• Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
• Fourth moment theorems for Markov diffusion generators
• Stein characterizations for linear combinations of gamma random variables
• Optimal Gamma Approximation on Wiener Space
• Stein's method, logarithmic Sobolev and transport inequalities
• Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach
• Forecasting of time data with using fractional Brownian motion
• Quantitative clts on a gaussian space: a survey of recent developments
• Cumulants on the Wiener space
• The Gamma Stein equation and noncentral de Jong theorems

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