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2007 Gaussian Approximations of Multiple Integrals
Giovanni Peccati
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Electron. Commun. Probab. 12(none): 350-364 (2007). DOI: 10.1214/ECP.v12-1322

Abstract

Fix $k\geq 1$, and let $I(l), l \geq 1$, be a sequence of $k$-dimensional vectors of multiple Wiener-Itô integrals with respect to a general Gaussian process. We establish necessary and sufficient conditions to have that, as $l \to\infty$, the law of $I(l)$ is asymptotically close (for example, in the sense of Prokhorov's distance) to the law of a $k$-dimensional Gaussian vector having the same covariance matrix as $I(l)$. The main feature of our results is that they require minimal assumptions (basically, boundedness of variances) on the asymptotic behaviour of the variances and covariances of the elements of $I(l)$. In particular, we will not assume that the covariance matrix of $I(l)$ is convergent. This generalizes the results proved in Nualart and Peccati (2005), Peccati and Tudor (2005) and Nualart and Ortiz-Latorre (2007). As shown in Marinucci and Peccati (2007b), the criteria established in this paper are crucial in the study of the high-frequency behaviour of stationary fields defined on homogeneous spaces.

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Giovanni Peccati. "Gaussian Approximations of Multiple Integrals." Electron. Commun. Probab. 12 350 - 364, 2007. https://doi.org/10.1214/ECP.v12-1322

Information

Accepted: 13 October 2007; Published: 2007
First available in Project Euclid: 6 June 2016

zbMATH: 1130.60029
MathSciNet: MR2350573
Digital Object Identifier: 10.1214/ECP.v12-1322

Subjects:
Primary: 60F05
Secondary: 60G15, 60H05, 60H07

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