English

Noncentral convergence of multiple integrals

Probability 2009-08-28 v3

Abstract

Fix ν>0\nu>0, denote by G(ν/2)G(\nu/2) a Gamma random variable with parameter ν/2\nu/2 and let n2n\geq2 be a fixed even integer. Consider a sequence {Fk}k1\{F_k\}_{k\geq1} of square integrable random variables belonging to the nnth Wiener chaos of a given Gaussian process and with variance converging to 2ν2\nu. As kk\to\infty, we prove that FkF_k converges in distribution to 2G(ν/2)ν2G(\nu/2)-\nu if and only if E(Fk4)12E(Fk3)12ν248νE(F_k^4)-12E(F_k^3)\to12\nu^2-48\nu.

Keywords

Cite

@article{arxiv.0709.3903,
  title  = {Noncentral convergence of multiple integrals},
  author = {Ivan Nourdin and Giovanni Peccati},
  journal= {arXiv preprint arXiv:0709.3903},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/08-AOP435 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T09:21:28.609Z