CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index

Exact confidence intervals of the extended Orey index for Gaussian processes

In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observations of the underlying process. The obtained result is applied to Gaussian processes with the Orey index which not necessarily have stationary increments.

Berry-Esséen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion

Let $B$ be a bifractional Brownian motion with parameters $H\in (0, 1)$ and $K\in(0,1]$. For any $n\geq1$, set $Z_n =\sum_{i=0}^{n-1}\big[n^{2HK}(B_{(i+1)/n}-B_{i/n})^2-\E((B_{i+1}-B_{i})^2)\big]$. We use the Malliavin calculus and the so-called Stein's method on Wiener chaos introduced by Nourdin and Peccati \cite{NP09} to derive, in the case when $0<HK\leq3/4$, Berry-Esséen-type bounds for the Kolmogorov distance between the law of the correct renormalization $V_n$ of $Z_n$ and the standard normal law. Finally, we study almost sure central limit theorems for the sequence $V_n$.

Berry-Esseen bounds and almost sure CLT for the quadratic variation of a general Gaussian process

In this paper, we consider the explicit bound for the second-order approximation of the quadratic variation of a general fractional Gaussian process $(G_t)_{t\ge 0}$. The second order mixed partial derivative of the covariance function $ R(t,\, s)=\mathbb{E}[G_t G_s]$ can be decomposed into two parts, one of which coincides with that of fractional Brownian motion and the other of which is bounded by $(ts)^{H-1}$ up to a constant factor. This condition is valid for a class of continuous Gaussian processes that fails to be self-similar or have stationary increments. %Some examples include the su…

A high-dimensional CLT in $\mathcal{W}_2$ distance with near optimal convergence rate

Let $X_1, \ldots , X_n$ be i.i.d. random vectors in $\mathbb{R}^d$ with $\|X_1\| \le β$. Then, we show that $\frac{1}{\sqrt{n}}(X_1 + \ldots + X_n)$ converges to a Gaussian in quadratic transportation (also known as "Kantorovich" or "Wasserstein") distance at a rate of $O\left( \frac{\sqrt{d} β\log n}{\sqrt{n}} \right)$, improving a result of Valiant and Valiant. The main feature of our theorem is that the rate of convergence is within $\log n$ of optimal for $n, d \rightarrow \infty$.

Joint CLT for several random sesquilinear forms with applications to large-dimensional spiked population models

In this paper, we derive a joint central limit theorem for random vector whose components are function of random sesquilinear forms. This result is a natural extension of the existing central limit theory on random quadratic forms. We also provide applications in random matrix theory related to large-dimensional spiked population models. For the first application, we find the joint distribution of grouped extreme sample eigenvalues correspond to the spikes. And for the second application, under the assumption that the population covariance matrix is diagonal with $k$ (fixed) simple spikes, we …

鞅的中心极限定理-III：不连续补偿元

CLT for martingales-III: discontinuous compensators

本文提出了一种条件更宽松的鞅弱收敛新定理，通过联合使用 Skorohod 的 $\cJ_1$-拓扑和 $\cM_1$-拓扑处理不连续性，并给出了离散时间鞅差阵列等特殊情况的条件及应用示例。