Invariance Principles for Homogeneous Sums: Universality of Gaussian Wiener Chaos

Abstract : We compute explicit bounds in the normal and chi-square approximations of multilinear homogenous sums (of arbitrary order) of general centered independent random variables with unit variance. Our techniques combine an invariance principle by Mossel, O'Donnell and Oleszkiewicz with a refinement of some recent results by Nourdin and Peccati, about the approximation of laws of random variables belonging to a fixed (Gaussian) Wiener chaos. In particular, we show that chaotic random variables enjoy the following form of \textsl{universality}: (a) the normal and chi-square approximations of any homogenous sum can be completely characterized and assessed by first switching to its Wiener chaos counterpart, and (b) the simple upper bounds and convergence criteria available on the Wiener chaos extend almost verbatim to the class of homogeneous sums. These results partially rely on the notion of ``low influences'' for functions defined on product spaces, and provide a generalization of central and non-central limit theorems proved by Nourdin, Nualart and Peccati. They also imply a further drastic simplification of the method of moments and cumulants -- as applied to the proof of probabilistic limit theorems -- and yield substantial generalizations, new proofs and new insights into some classic findings by de Jong and Rotar'. Our tools involve the use of Malliavin calculus, and of both the Stein's method and the Lindeberg invariance principle for probabilistic approximations.
Type de document :
Pré-publication, Document de travail
52 pages. 2009
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00373978
Contributeur : Ivan Nourdin <>
Soumis le : mardi 7 avril 2009 - 16:12:11
Dernière modification le : lundi 29 mai 2017 - 14:21:38
Document(s) archivé(s) le : jeudi 10 juin 2010 - 18:11:29

Fichiers

Invariance_FINAL.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00373978, version 1
  • ARXIV : 0904.1153

Collections

Citation

Ivan Nourdin, Giovanni Peccati, Gesine Reinert. Invariance Principles for Homogeneous Sums: Universality of Gaussian Wiener Chaos. 52 pages. 2009. <hal-00373978>

Partager

Métriques

Consultations de
la notice

305

Téléchargements du document

80