Moments and central limit theorems for some multivariate Poisson functionals
Probability
2014-07-08 v3
Abstract
This paper deals with Poisson processes on an arbitrary measurable space. Using a direct approach, we derive formulae for moments and cumulants of a vector of multiple Wiener-It\^o integrals with respect to the compensated Poisson process. Second, a multivariate central limit theorem is shown for a vector whose components admit a finite chaos expansion of the type of a Poisson U-statistic. The approach is based on recent results of Peccati et al.\ combining Malliavin calculus and Stein's method, and also yields Berry-Esseen type bounds. As applications, moment formulae and central limit theorems for general geometric functionals of intersection processes associated with a stationary Poisson process of -dimensional flats in are discussed.
Cite
@article{arxiv.1205.3033,
title = {Moments and central limit theorems for some multivariate Poisson functionals},
author = {Guenter Last and Mathew D. Penrose and Matthias Schulte and Christoph Thaele},
journal= {arXiv preprint arXiv:1205.3033},
year = {2014}
}