Weak convergence of weighted additive functionals of long-range dependent fields
Authors:
T. Alodat and A. Olenko
Translated by:
The authors
Journal:
Theor. Probability and Math. Statist. 97 (2018), 1-16
MSC (2010):
Primary 60G60; Secondary 60G12, 60F05
DOI:
https://doi.org/10.1090/tpms/1044
Published electronically:
February 21, 2019
MathSciNet review:
3745995
Full-text PDF
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References |
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Additional Information
Abstract: We provide asymptotic results for the distribution of weighted nonlinear functionals of Gaussian field with long-range dependence. We also show that integral functionals and the corresponding additive functionals have the same distributions under certain assumptions. The result is applied to integrals over a multidimensional rectangle with a constant weight function.
References
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References
- V. Anh, N. Leonenko, A. Olenko, and V. Vaskovych, On rate of convergence in non-central limit theorems, Bernoulli (to appear).
- V. Anh, N. Leonenko, and A. Olenko, On the rate of convergence to Rosenblatt-type distribution, J. Math. Anal. Appl. 425 (2015), 111–132. MR 3299653
- S. Bai and M. Taqqu, Multivariate limit theorems in the context of long-range dependence, J. Time Series Anal. 34 (2013), 717–743. MR 3127215
- J. Beran, Statistics for long-memory processes, CRC press, 1994. MR 1304490
- N. Bingham, C. Goldie, and J. Teugels, Regular variation, Cambridge University Press, 1989. MR 1015093
- V. Buldygin, Y. Kozachenko, and N. Leonenko, Works of M. I. Yadrenko in the theory of random fields, Ukr. Math. J. 441 (1992), 1343–1348. MR 1213887
- R. Dobrushin and P. Major, Non-central limit theorems for non-linear functional of Gaussian fields, Probab. Theory Related Fields 50 (1979), 27–52. MR 550122
- P. Doukhan, G. Oppenheim, and M. Taqqu, Theory and applications of long-range dependence, Springer, 2002.
- P. Doukhan, M. Taqqu, and G. Oppenheim, Long-range dependence: theory and applications, Birkhauser, 2002. MR 1956042
- A. Ivanov and N. Leonenko, Statistical analysis of random fields, Kluwer Academic Publisher, Dordrecht, 1989. MR 1009786
- N. Leonenko, Limit theorems for random fields with singular spectrum, Springer, 1999. MR 1687092
- N. Leonenko and A. Olenko, Sojourn measures of Student and Fisher–Snedecor random fields, Bernoulli 20 (2014), 1454–1483. MR 3217450
- N. Leonenko and E. Taufer, Weak convergence of functionals of stationary long memory processes to Rosenblatt-type distributions, J. Statist. Plann. Inference 136 (2006), 1220–1236. MR 2253760
- P. Major, Multiple Wiener–Itô Integrals: With Applications to Limit Theorems, Springer-Verlag, 2014. MR 3155040
- A. Olenko, Limit theorems for weighted functionals of cyclical long-range dependent random fields, Stoch. Anal. Appl. 31 (2013), 199–213. MR 3021486
- A. Olenko and B. Klykavka, A limit theorem for random fields with a singularity in the spectrum, Theory Probab. Math. Statist. 81 (2010), 147–158. MR 2667316
- M. Pakkanen and A. Réveillac, Functional limit theorems for generalized variations of the fractional Brownian sheet, Bernoulli 22 (2016), 1671–1708. MR 3474829
- W. Palma, Long-Memory Time Series: Theory and Methods, John Wiley and Sons, 2007. MR 2297359
- V. Pipiras and M. Taqqu, Regularization and integral representations of Hermite processes, Statist. Probab. Lett. 80 (2010), 2014–2023. MR 2734275
- M. Rosenblatt, Limit theorems for Fourier transforms of functionals of Gaussian sequences, Probab. Theory Related Fields 55 (1981), 123–132. MR 608012
- M. Rosenblatt, Independence and dependence, Proc. 4th Berkeley Sympos. Math. Statist. and Prob. 2 (1961), 431–443. MR 0133863
- M. Taqqu, Convergence of integrated processes of arbitrary Hermite rank, Probab. Theory Related Fields 50 (1979), 53–83. MR 550123
- M. Taqqu, Weak convergence to fractional Brownian motion and to the Rosenblatt process, Probab. Theory Related Fields 31 (1975), 287–302. MR 0400329
- M. Yadrenko, Spectral Theory of Random Fields, Optimization Software, New York, 1983. MR 697386
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Additional Information
T. Alodat
Affiliation:
Department of Mathematics and Statistics, La Trobe University, Melbourne, Victoria, 3086, Australia
Email:
Alodat.t@students.latrobe.edu.au
A. Olenko
Affiliation:
Department of Mathematics and Statistics, La Trobe University, Melbourne, Victoria, 3086, Australia
Email:
a.olenko@latrobe.edu.au
Keywords:
Random fields,
Hermite-type distributions,
noncentral limit theorems,
long-range dependence,
weighted nonlinear functionals
Received by editor(s):
September 19, 2017
Published electronically:
February 21, 2019
Additional Notes:
Supported in part under the Australian Research Council’s Discovery Project funding scheme (project number DP160101366) and in part by the La Trobe University DRP Grant in Mathematical and Computing Sciences.
Dedicated:
This paper is dedicated to the 85th anniversary of Professor M. Yadrenko’s birth
Article copyright:
© Copyright 2019
American Mathematical Society