Remarks on limit theorems for nonlinear functionals of Gaussian sequences

DOI10.1007/BF00320078MaRDI QIDQ1074216zbMATH OpenOpenAlexFDO

Authors Murray Rosenblatt

Publication date 1987

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00320078

zbMATH Keywords

expansion of Dobrushin's typenonlinear functionals of Gaussian sequencessubordinate to a Gaussian process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15)

Review text

Limit theorems for sums of nonlinear functionals of Gaussian sequences typically obtain as limit distribution that of a single term in an expansion given by \textit{R. L. Dobrushin} [Ann. Probab. 7, 1-28 (1979; Zbl 0392.60039)] for a process subordinate to a Gaussian process. Here we show how one can obtain limit theorems of this type where the limit distribution is that of a full expansion of Dobrushin's type.

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Cites work

• CLT and other limit theorems for functionals of Gaussian processes
• Gaussian and their subordinates self-similar random generalized fields
• scientific article; zbMATH DE number 3785933 (Why is no real title available?)
• Limit theorems for Fourier transforms of functionals of Gaussian sequences
• Limit theorems for non-linear functionals of Gaussian sequences
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Non-central limit theorems for non-linear functional of Gaussian fields
• Some limit theorems for partial sums of quadratic forms in stationary Gaussian variables

Cited in

(5)

• Necessary conditions for nonlinear functionals of Gaussian processes to satisfy central limit theorems
• Functional limit theorems for the increments of Gaussian samples
• scientific article; zbMATH DE number 1944034 (Why is no real title available?)
• scientific article; zbMATH DE number 5259819 (Why is no real title available?)
• A mixture-type limit theorem for nonlinear functions of Gaussian sequences

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