A four moments theorem for Gamma limits on a Poisson chaos
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Published version
OA Location
Author(s)
Fissler, Tobias
Thaele, Christoph
Type
Journal Article
Abstract
This paper deals with sequences of random variables belonging to a
fixed chaos of order q generated by a Poisson random measure on a Polish space.
The problem is investigated whether convergence of the third and fourth moment
of such a suitably normalized sequence to the third and fourth moment of a centred
Gamma law implies convergence in distribution of the involved random variables.
A positive answer is obtained for q = 2 and q = 4. The proof of this four moments
theorem is based on a number of new estimates for contraction norms. Applications
concern homogeneous sums and U-statistics on the Poisson space.
fixed chaos of order q generated by a Poisson random measure on a Polish space.
The problem is investigated whether convergence of the third and fourth moment
of such a suitably normalized sequence to the third and fourth moment of a centred
Gamma law implies convergence in distribution of the involved random variables.
A positive answer is obtained for q = 2 and q = 4. The proof of this four moments
theorem is based on a number of new estimates for contraction norms. Applications
concern homogeneous sums and U-statistics on the Poisson space.
Date Issued
2016-02-02
Date Acceptance
2016-02-02
Citation
ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2016, 13 (1), pp.163-192
ISSN
1980-0436
Publisher
IMPA
Start Page
163
End Page
192
Journal / Book Title
ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS
Volume
13
Issue
1
Copyright Statement
© 2016 The Author(s)
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000383736000007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Contraction
four moments theorem
Gamma distribution
homogeneous
sums
multiple stochastic integrals
non-central limit theorem
Poisson chaos
Poisson
random measure
universality
U-statistics
GAUSSIAN FLUCTUATIONS
NORMAL APPROXIMATION
POINT-PROCESSES
U-STATISTICS
INTEGRALS
FUNCTIONALS
CONVERGENCE
SPACE
FORMS
Publication Status
Published