Asymptotic independence of multiple Wiener.Itô integrals and the resulting limit laws

Citation
Nourdin, Ivan et Rosi.ski, Jan, Asymptotic independence of multiple Wiener.Itô integrals and the resulting limit laws, Annals of probability , 42(2), 2014, pp. 497-526
Journal title
ISSN journal
00911798
Volume
42
Issue
2
Year of publication
2014
Pages
497 - 526
Database
ACNP
SICI code
Abstract
We characterize the asymptotic independence between blocks consisting of multiple Wiener.Itô integrals. As a consequence of this characterization, we derive the celebrated fourth moment theorem of Nualart and Peccati, its multidimensional extension and other related results on the multivariate convergence of multiple Wiener.Itô integrals, that involve Gaussian and non Gaussian limits. We give applications to the study of the asymptotic behavior of functions of short and long-range dependent stationary Gaussian time series and establish the asymptotic independence for discrete non-Gaussian chaoses.