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Moment bounds and central limit theorems for Gaussian subordinated arrays

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  • Bardet, Jean-Marc
  • Surgailis, Donatas

Abstract

A general moment bound for sums of products of Gaussian vector’s functions extending the moment bound in Taqqu (1977, Lemma 4.5) [28] is established. A general central limit theorem for triangular arrays of nonlinear functionals of multidimensional non-stationary Gaussian sequences is proved. This theorem extends the previous results of Breuer and Major (1983) [5], Arcones (1994) [1] and others. A Berry–Esseen-type bound in the above-mentioned central limit theorem is derived following Nourdin et al. (2011) [20]. Two applications of the above results are discussed. The first one refers to the asymptotic behavior of a roughness statistic for continuous-time Gaussian processes and the second one is a central limit theorem satisfied by long memory locally stationary processes.

Suggested Citation

  • Bardet, Jean-Marc & Surgailis, Donatas, 2013. "Moment bounds and central limit theorems for Gaussian subordinated arrays," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 457-473.
  • Handle: RePEc:eee:jmvana:v:114:y:2013:i:c:p:457-473
    DOI: 10.1016/j.jmva.2012.08.002
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    References listed on IDEAS

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    1. Soulier, Philippe, 2001. "Moment bounds and central limit theorem for functions of Gaussian vectors," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 193-203, September.
    2. Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011. "Quantitative Breuer-Major theorems," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 793-812, April.
    3. Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
    4. Coulon-Prieur, Clémentine & Doukhan, Paul, 2000. "A triangular central limit theorem under a new weak dependence condition," Statistics & Probability Letters, Elsevier, vol. 47(1), pages 61-68, March.
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    Cited by:

    1. Mikko S. Pakkanen & Anthony Réveillac, 2014. "Functional limit theorems for generalized variations of the fractional Brownian sheet," CREATES Research Papers 2014-14, Department of Economics and Business Economics, Aarhus University.
    2. Bardet, Jean-Marc & Surgailis, Donatas, 2013. "Nonparametric estimation of the local Hurst function of multifractional Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1004-1045.
    3. Marco Dozzi & Yuliya Mishura & Georgiy Shevchenko, 2015. "Asymptotic behavior of mixed power variations and statistical estimation in mixed models," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 151-175, July.

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