A four moments theorem for Gamma limits on a Poisson chaos


Autoria(s): Fissler, Tobias; Thäle, Christoph
Data(s)

2016

Resumo

This paper deals with sequences of random variables belonging to a fixed chaos of order q generated by a Poisson random measure on a Polish space. The problem is investigated whether convergence of the third and fourth moment of such a suitably normalized sequence to the third and fourth moment of a centred Gamma law implies convergence in distribution of the involved random variables. A positive answer is obtained for q = 2 and q = 4. The proof of this four moments theorem is based on a number of new estimates for contraction norms. Applications concern homogeneous sums and U-statistics on the Poisson space.

Formato

application/pdf

application/pdf

Identificador

http://boris.unibe.ch/84023/1/13-07.pdf

http://boris.unibe.ch/84023/8/1502.01568v1.pdf

Fissler, Tobias; Thäle, Christoph (2016). A four moments theorem for Gamma limits on a Poisson chaos. Alea -Latin American journal of probability and mathematical statistics, 13(1), pp. 163-192. Institute of Mathematical Statistics

doi:10.7892/boris.84023

urn:issn:1980-0436

Idioma(s)

eng

Publicador

Institute of Mathematical Statistics

Relação

http://boris.unibe.ch/84023/

http://alea.impa.br/articles/v13/13-07.pdf

Direitos

info:eu-repo/semantics/restrictedAccess

info:eu-repo/semantics/openAccess

Fonte

Fissler, Tobias; Thäle, Christoph (2016). A four moments theorem for Gamma limits on a Poisson chaos. Alea -Latin American journal of probability and mathematical statistics, 13(1), pp. 163-192. Institute of Mathematical Statistics

Palavras-Chave #510 Mathematics
Tipo

info:eu-repo/semantics/article

info:eu-repo/semantics/publishedVersion

PeerReviewed