Non-Central Limit Theorem for Quadratic Functionals of Hermite-Driven Long Memory Moving Average Processes
Abstract
Let denote a Hermite process of order and self-similarity parameter . Consider the Hermite-driven moving average process In the special case of , is the non-stationary Hermite Ornstein-Uhlenbeck process of order . Under suitable integrability conditions on the kernel , we prove that as , the normalized quadratic functional where , converges in the sense of finite-dimensional distribution to the Rosenblatt process of parameter , up to a multiplicative constant, irrespective of self-similarity parameter whenever . In the Gaussian case , our result complements the study started by Nourdin \textit{et al} in arXiv:1502.03369, where either central or non-central limit theorems may arise depending on the value of self-similarity parameter. A crucial key in our analysis is an extension of the connection between the classical multiple Wiener-It\^{o} integral and the one with respect to a random spectral measure (initiated by Taqqu (1979)), which may be independent of interest.
Keywords
Cite
@article{arxiv.1607.08278,
title = {Non-Central Limit Theorem for Quadratic Functionals of Hermite-Driven Long Memory Moving Average Processes},
author = {T. T. Diu Tran},
journal= {arXiv preprint arXiv:1607.08278},
year = {2017}
}
Comments
Accepted for publication in Stoch. Dyn