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

Ivan Nourdin (1) , Jan Rosinski (2)

1 IECL - Institut Élie Cartan de Lorraine
2 Department of Mathematics [Tennessee]

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

Mots clés: Limit theorems; Multiple Wiener-Itô integral; Multiplication formula

Domaines: Probabilités [math.PR]

Ivan Nourdin, Jan Rosinski. Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws. Annals of Probability, 2014, ⟨10.1214/12-AOP826⟩. ⟨hal-00654259v3⟩